During the sea storm, the waves morph into a giant demonic entity made of sea foam and water. It almost looks like the Chernabog's cousin.
The Giant Mouse wasn't accidental in the story, it was made to scare off the cats after all. The head and other parts of the Mouse are rotoscoped, making it look eerily realistic. Rotoscoping is tracing over film footage. So the producers made a Mouse of Minsk in order to trace the footage over. Even if it's probably smaller than a human, it is still probably intimidating, like the Gashadokuro in Kubo and the Two Strings.
The Russian cats in the beginning of the movie chasing after Fievel and the fact they were like monsters (in Fievel's point of view.) They growl like lions rather than cats, too.
The humans at the beginning, who the cats were imitating. The movie started out with a pogrom.
There's a whole lot of Adult Fear too if you put yourself in Papa's position.
And for Papa himself, too. In "There Are No Cats In America," Papa starts off the song by mentioning that he and his family were just walking to Minsk one day when he was young, then they saw evidence of a cat in the area, Papa faints, and he wakes up to find his entire family had been killed and eaten. That's a terrifying prospect for any parent, one that transcends their own death: now, their child is all alone in a world where they're at the bottom of the food chain...
If you were even remotely afraid of insects the swarm of roaches in the sewer were pretty creepy...
Imagine them if you're Fievel's size, and the roaches are bigger than you are...*shudder*
And that thing that was eating the roaches! It appears only once and is never mentioned again.
One has to be a little disturbed by the fact that Fievel was nearly eaten alive by a cat in the middle of the movie. The scene isn't played dramatically, and Fievel escapes quickly, but when you think about it for a second... *shudders*
One instance in Fievel Goes West was the hawk and scorpion scene. AAAAAAAAHHHHHHHH!
The part where the scorpion almost stings Fievel right between the legs will make anyone cringe.
THE LAAAAAAAAAAZY EYE.
The scene in Treasure of Manhattan Island where a factory worker is beaten by corrupt cops was quite intense and distressing.
In the same movie, right near the end, the heroes set off the destruction of the passage leading to the tribe's village to protect them (their air passages will be undamaged, so they're safe). As they try to get out in time so they won't be trapped, two of the villains (the leader of the aforementioned corrupt cops and the Big Bad's lackey) fall down a seemingly bottomless shaft, screaming the whole way, followed by a colossal amount of water. Only rarely does a Disney Villain Death really and truly show that, yes, there is absolutely, positively, 100% NO WAY that those guys made it out alive.
Some of the monsters Fievel imagines in Mystery of the Night Monster, like the one from the first scene.
Speaking of monsters, in the original movie, just before Fievel is washed into the sea, the waves manifest as a Satanic Poseidon that lunges at the ship, though this could be an interpretation of what Fievel thinks those waves are.