Dungeon Keeper Ami: a strange, strange example in the form of Mukrezar. Mukrezar is a goofy, slightly manic Keeper of dubious competance. He dosen't even look threatening, he's a pink-haired elf! Following his resurrection he serves as a decidedly plucky comic releif sub-plot and foil to Ami's introverted competence. Yet despite all of this, the story has not only arguably taken a turn for the darker since his introduction, but the level of threat posed by Mukrezar has risen exponentially with his every appearence. Why? Despite dubious success in most of his Zany Scheme -ness, his sadistic streak and ability to bounce back from crushing defeat is intimidateing to the extream.
ChaosGallantmon from the Tamers Forever Series. Before his appearence, the series was a lighthearted romantic comedy series. However ChaosGallantmon's appearance kicks the series Myth Arc into high gear by triggering the series first Wham Episode. And his second appearance is the catalyst for the series Darkest Hour.
For an even more extreme version of this, we have Daemon. See Darkest Hour for more information.
Saint Ayame and Saint Sarutobi from One Piece: Parallel Works. We first see them trying to enslave an entire island, which Aria talks them out of. But, as the series progresses, we learn that they've done some pretty nasty stuff, especailly to Heathcliffe and Yuki-Rin. Kicking Heathcliffe out of his house and killing Molly's parents ( even though her parents faked their deaths) don't even begin to describe how they've also almost brainwashed Holden by sending him to a boarding school for the children of the Tenryuubito. It's also implied that Saint Ayame frequently beat Yuki-Rin for her love of pirates.
Getting Back on Your Hooves had some sad moments in the beginning, but mostly a rather lighthearted story about Trixie trying to do exactly what the title says...Then CheckerMonarch enters the picture. Word of God states her mannerisms were based off those of a sociopath if that's any indication. Example? She Mind Raped Rainbow Dash and convinced the Diamond Dogs not to try anything funny with her by saying she'd turn their mine into a parking lot...with them under it. That was only her second appearence.
The Pony POV Series has Loneliness; up till she showed up, the Reharmonization series was much more light hearted than the Discorded Ponies series — it had its dark moments, yes, but nowhere near the amount of horror Loneliness brought with her. Not only that, but only a couple of chapters later the Princess Gaia arc started up.
Nightmare Eclipse/Paradox manages to be this for Dark World, which was alreadyDarker and Edgier. When the story finally turns to her, it instantly becomes a WhamArc and the stakes go simply from freeing the world from Discord's tyranny, to having to save the entire timeline from being erased from existence due to her "Groundhog Day" Loop plan. Add in her rather frightening Faux Affably Evil personality and the fact she has the largest body count of any villain in the fic due to having gleefully erased the entire timeline and everyone in it several million times and she's most certainly this trope.
Queen Chrysalis is this for the Reharmonized timeline. Where previous villains may have been more powerful, her planning, legions of Mooks, mind control powers (which see much more use than in canon), sadism, and knowledge of the Heart World make her quite possibly the greatest threat this timeline has ever faced.
Chrysalis' Mad Scientist minion, Kabuto, is this for the Wedding Arc's side story focusing on Misfit Actual. Their story is actually has less action than the Mane Six's due to them acting covertly for the most part, and the fights they do have they tend to win fairly easily, with no real bad will towards their opponents, who are only trying to capture them. Then they go up against Kabuto, a Faux Affably EvilMad Doctor who casually talks about performing monstrous experiments on his own kind and innocent ponies, and is also an incredibly dangerous opponent due to experimenting on himself.
In The Dresden Fillies, the story takes a darker turn when Trixie and the Nightmare kidnap Spike.
In My Little Denarians, the Denarians. Discord may be more powerful, but the Denarians are more evil.
Shards Of Memory, the story takes a much more foreboding turn when Chaos makes his entrance. Killing Cosmos was just the start of the havoc his introduction caused.
Umi Tsuda in Windows of the Soul. The first time she shows up, she tries to kill Shizuru for killing her fiance, and the parts in which she's involved are some of the darker parts of the fic.
Earth and Sky: A mild example, all things considered, but Diamond Tiara's entrance into the story (followed shortly after by the Flim-Flams) not only brought in actual antagonists, but also an overall darker tone to the story.
Subverted with Chrysalis. At first it looked like she was going to be a Knight, but instead was reduced to an Ineffectual Sympathetic Villain, whose one major act of villainy (framing Rarity being a changeling) was negated within hours.
The Powers Of Harmony: While it was fairly obvious from the start that the story was ultimately going to go in a dark direction, it was pretty easy to ignore, given the story's mostly light tone for most of Act 1. Then, just after the Guards' Dark Secret and backstory are revealed at the beginning of Act 2, Cetus shows up, and everything goes straight to Hell.
Hitomi Kirihara is the first SUE with hostile intentions toward the Himes, and abuses her Mind Control powers to rob and murder people. Over 20 people end up dead as a result of her actions, and this turn of events causes Nao to agree to cooperate with the Himes in spite of being reluctant to do so.
Bachiko and Meiko present more of a threat to the Himes than most of the SUEs, setting them against each other and playing into the canon antagonists' plans. By the end of Chapter 19, Yukariko and Ishigami are dead, Mai barely avoided causing Yuuichi's death while surviving an attack from Shiho, Natsuki had to protect Nao from Shizuru (and then Shizuru from Nao), and Bachiko and Meiko are finished off by a Brainwashed Mikoto.
There's an amusing attempt to invoke this in A New Order. Nephrite proves himself to be frighteningly competent very quickly, his first appearance resulting in the first innocent deaths of the story. When he first shows up, he's accompanied by a three-headed wolf youma named Kerberos. Word of God is that this is because the author thought the trope was Knight of Cerberus, as in the 3-headed hellhound, and wanted to invoke it.
Professor Moriarty in the first finale of Children of Time. There have been a lot of monstrous beings and despicable actions to date, but no one with as thorough a vendetta against Sherlock Holmes as the Professor. Notably, within 5,000 words of his introduction, the whole world basically goes to hell.
Denkuma in Volume I of Dragon Ball X. Up until then the series had a very "villain of the week" sort of style, usually ending with the acquisition of a Dragon Ball. Even Porter and Cuo, while dangerous villains, weren't overly threatening and were dealt with without much collateral damage. Cue Denkuma. His debut had him absolutely destroying and humiliating the main characters in battle, and a chapter or two later it's made very clear exactly how dangerous he really is. The rest of the series immediately took a turn for the dark that didn't ease up until the last half of the final chapter of Volume I.
Thunderstorm and Shadow, the villains of season 3 finale "Thunderstorm", are shown to be the most competent threats the series has had thus far, actually managing to Take Over the Worldand destroy the MTM. It takes a lot to defeat them.
The season 5 (and series) finale "Black Rain" abruptly introduces the Slender Man of all people, and his appearance is a haunting as always - especially when he "kills" Thunderstorm and Shadow at the end.
The Neon Genesis Evangelion fanfic Re-Take initially came off as Peggy Sue fic where Shinji found the rest of the series after he escaped from Leliel was just a dream starts acting to prevent Asuka's fate in the actual series, leading to the two of them confessing their love... Then a second, badly injured Asuka appears that only Shinji can see that's more a Jerkass than he canon incarnation ever was, proving the first sign that everything is not going to work as perfectly at it first looks.
In Star Wars Light In Dark Time, Jinn Skywalker fits this trope perfectly. His appearance marks the first legitimate villain threat, as well as the start of the Myth Arc. Admiral Zorg ups the ante when he begins to gain a role in the story, being calm and calculating, in contrast to Jinn's brash, Blood Knight tendencies.
Equestrias First Human was already dramatic, with Connor's social isolation from Ponyville, and the Mane 6's own social isolation for relating to him. Then comes Hellfire, a unicorn stallion with a crazed vendetta against Princess Celestia. His first act on screen was to mutilate one of his subordinates for failing a petty order.