Conal Cochran's speech to Dr. Challis about his intentions with the masks. Cochran is an unrepentant monster and it is no better demonstrated than in this chilling scene where he explains just why he's going through with his plan. Nightmare Fuel? Most assuredly but the way in which he delivers it, without the slightest hint of remorse in his voice, places it squarely in this category as well.
Everything about Cochran, frankly - Even the Faux Affably Evil stuff at the beginning to just the slightly squicky way he puts the mask over the kid's head, his little breath of satisfaction on Halloween morning, the subtle contempt in his voice over what Halloween has become in the modern day - little more than kids going out begging for candy - and the way he accepts 'defeat' with a smile and a little golf-clap. Awesome.
Challis is no slouch either. Over the course of one night, he destroys one of Cochran's androids in hand to hand combat, escapes a Silver Shamrock death trap, burns the Factory to the ground using the Henge fragments, and even gets two of the commercials taken off the air. All in that order. Not bad for a neglectful alcoholic.
The boldness of the final scene, too; In the previous movies, Michael was 'killed' at the end of each of his rampages. Here? The bad guy is stopped and yet he still wins, with Challis's harrowing scream telling us that a lot of people are going to die that Halloween. Naturally, not awesome in the sense that thousands of children will probably die, but most horror films end with the threat over; Halloween III doesn't.