As an adjective, there is never-to-be-forgotten which usually implies that the experience or memory was unpleasant, unlike unforgettable which usually implies a pleasant memory.
Note: It is used as unhyphenated too.
Examples:
Stupid, sometimes tragic, decisions by commanders also impacted the mind with never-to-be-forgotten, nightmarish memories.
[Never Without Heroes: Marine Third Reconnaissance Battalion in Vietnam by Lawrence C. Vetter, Jr. (2011)]
At length, the never-to-be-forgotten day of the terrible auction arrived, when the 'slaves, horses, and other catde' of Charles Ardinburgh, deceased, were to be put under the hammer, and again change masters.
[The Narrative of Sojourner Truth by Sojourner Truth (2008)]
There is etched (in/on sb's memory) that can used for unforgettable bad memories. It is mainly used in literature. Similarly there is engraved and stamped but they are more neutral.
if something is etched on your mind or memory, you can still remember it very clearly, sometimes when you would prefer to forget it
http://www.macmillandictionary.com/dictionary/british/etched
Examples:
The plane crashed on landing as family and friends watched from the airport lounge while awaiting their loved one's arrival. Those horrible images were forever etched in his memory.
[Softened Moon's Glow: Collective Works (BW) by Don Di Tomasso, Connie L. Valentine - (2013)]
The sudden demise of my younger brother was now permanently etched in my mind. The end of my brother's life created permanent pain into the deep divisions of my mind and heart.
[Survival of the Heart Tragedy of the Mind By Dwight N. Wood (2013)]
+1
for haunting. That should just be the answer.