Some Fridge Horror: Imagine being Toph. As long as your feet are on the ground, you can see everything around you and use your seismic sense. But if you can't detect the ground or there is none around you, you're completely blind. Her ability to see with her feet is how she managed to get through on her own, but she must have felt horrified when she was in the desert or on the airships in the finale, unable to detect or see anything.
Book One: Water
Episode 3 was the first jaw-dropping instance of nightmarish imagery the show spit out- the moment Aang spies a heap of Fire Nation soldiers' skeletons all gathered around another skeleton leaned against the wall- Monk Gyatso's. Not only are they the first legitimately depicted deaths in the series, but it's on a scale of its own when you realize it premiered on Nickelodeon- a kid's show network. Worse, Aang goes into a terrifying rage that sets off his Avatar State and he loses control. Everything around him turns dark, he surrounds himself in a sphere of wildly spinning air powerful enough to kick up a tornado, and starts levitating. You can only see his shadow-obscured face with cold, glowing eyes and an eerie whirring sound pulsating from him.
A very poignant Adult Fear moment from Gyatso when he realizes that Aang's just run away... and there's a massive storm brewing outside. Not to mention he never sees the kid again and soon after is killed as part of the Air Nomad genocide when the Fire Nation invades.
The Yu Yan. These guys are the best archers in the entire Fire Nation, possibly the entire world, and when ordered to have absolutely no qualms about ganging up on a twelve-year-old boy like a pack of wolves. Just the look on Aang's face after they have him pinned to the log.
In "The Waterbending Master" we get some good Adult Fear when Iroh goes out for a walk, leaving Zuko alone on the ship... When a group of pirates come to blow it up. We cut away from the explosion—to Iroh's reaction to it. Imagine leaving the boy who is like your son alone for ten minutes, and coming back to find the place where he was ablaze, with no sign of life anywhere.
Add to that the knowledge that Iroh already knew the pain of losing a son, and you have a Tear Jerker moment as well.
The scene in "The Siege of the North, Part 2" with Koh the Face Stealer. Koh is an Eldritch Abomination with a centipede body and many faces he can wear like masks. He switches between faces by "blinking" an eyelid-like flap over his face. His voice is straight out of the Uncanny Valley, like a cross between Jigsaw and Tom Waits. And when you meet him, you must maintain a perfect poker face. If you show any emotion in your expression at all, he'll add your face to his collection and leave you as a blank.
"You've come to me... with a new face."
The whole atmosphere around Koh's cave is carefully calculated to build tension, rising to a peak when Aang sees a monkey outside the cave... a monkey with no face.
It's not helped at all by the fact that Koh says something like it's been a while since he's gotten a child's face. That's right, Koh was excited about taking faces from children.
Aang and La fusing together to become the Koizilla monster after Tui is killed by Zhao. The moment when you realize it's not Aang in there, but a vengeful and angry ocean god possessing him and proceeding to single-handedly annihilate the invading forces. The music is also quite ominous and intense in this scene.
Book Two: Earth
In the first episode of Book 2, an Earth Kingdom general attempts to get Aang to use the Avatar State at will. He tries to provoke Aang into entering the Avatar State by actually Earthbending Katara INTO THE GROUND as if she's in quicksand, and she disappears while screaming in pain and fright. Needless to say, this provoked Aang to go into the Avatar State, and he goes berserk and starts attacking everybody in a blind rage.
The atmosphere of "The Swamp" was incredibly creepy.
Early in the episode, the Gaang hears a bird with a cry that sounds exactly like a human scream, disturbing all of them, because they can't find where the sound is coming from.
The visions. Katara thinks she sees her mother, only for it to be an illusion. She collapses to the ground in tears. Then, Sokka sees Yue, who says in a creepy, echoing voice: "You didn't protect me." She disappears... and when Sokka turns around again, she's right behind him, staring at him blankly, accompanied by a scare chord.
Vision!Toph's laugh is downright creepy due to it having a echoic effect.
The swamp is terrifying. Two words: Tentacle.Vines. They slither up to you whilst you sleep and then DRAG YOU OFF, SCREAMING.
The spider that built a web in Sokka's mouth at the beginning of Avatar Day? *bwuaaaah*
Zuko's memories in "Zuko Alone" are absolutely TERRIFYING in their depiction of Azula as a true fledgling sociopath. Zuko mentions that she "feeds" the sweet little turtleducks by throwing fairly large rocks directly at the ducklings, and while her other acts of petulance and spite are childish, they are a definite foreshadow of what she'll be like later. The fact that she can completely switch personalities and play the innocent so convincingly even when her mother knows how manipulative she can be is quite chilling, as is her total lack of empathy for her "friends" and her family, even after their mum is banished, her only reaction is to taunt Zuko with how she's no longer there to stop her tormenting him. However, the bit where she opens Zuko's bedroom door at night and happily sings " Dad's going to kill you!" and explains every detail of why she's certain and, for once, isn't lying is one of the scariest moments of Creepy ChildTroubling Unchildhood Behavior in history.
The part where his neck stretches out and he starts screeching is terrifying.
Aang in the episode The Desert. Sure, Katara calms him down before any real damage is done, but think about it...this one sandbender stole a rare animal. It turns out it belongs to the Avatar, who is very, very upset about losing his one living remnant of his people. And then Toph says one thing too many, and Aang's eyes start glowing. At this point, there is nothing the sandbenders can do to get him back. They start pleading, saying they'll help in any way they can, but they quickly realize that he's beyond reasoning. Eventually, Sokka just grabs Toph and makes a run for it along with them.
It may be a "kid's show", but there is no way in hell that the bit where Long Feng introduces the replacement Joo Dee wasn't designed to terrify everyone watching, no matter the age. And then, to make matters worse, we later see a room full of women being brainwashed into being "Joo Dee".
The swamp is scary. Bloodbenders are terrifying. Joo Dee being replaced? Easily the most mortifying moment in the entire series.
The music that first plays when Joo Dee is introduced. Just THAT should show you that she's bad news...
Even before you know about the brainwashing, that constant, creepy, fake grin the Joo Dees have is very... unsettling.
The entire episode counts as one. The mysterious secrets...The tortuous brainwashing...The Perpetual Smilers...The denial about obvious facts...Really, the episode seems to be a love letter to George Orwell's 1984.
Ba Sing Se might as well be called Oceania in any case.
The Book Two finale. Aang goes into the Avatar State and rises into the air, encased in a pillar of light. Katara looks on with admiration and awe, the music gets upbeat and seriously epic, and it looks like we're about to see a repeat of the Book One finale... and then Azula fries him with a bolt of lightning, in the middle of the transformation sequence. Worse, Aang is left with a gaping scar dead center in his back where the lightning hits, big enough to burn off a good deal of his arrow tattoo, plus a second one where the lightning came out the sole of his left foot.
Book Three: Fire
Combustion Man. The Voiceless, hulking mercenary bent solely on murdering the Avatar. We don't know anything about him aside from the fact that he can make things explode with his mind.
Then there's that scene at the air temple where he continues attacking the Gaang even after Zuko tells him to stop. This man is so dedicated to being an assassin, he'll try to kill you even if his employer cuts his contract!
The dragon catacombs in "The Avatar and the Firelord." Dragon skulls strewn about make for some awful childhood nightmares.
Let's not forget how Avatar Roku actually died: poisoned so badly by volcanic gas paralysis sets in, his vision turns dull and blurry, and he can't breathe at all. Then Sozin, his best friend for life, pulls the mother-of-all backstabs in the series and leaves him to be buried under the unbelievable heat and airless horror of an avalanche of volcanic ash. Fang, Roku's own dragon, can't rescue him in time, causing him to make a futile effort to shield him from being buried alive, but that only serves to kill them both. At least Roku isn't too upset about showing his own demise to Aang, but Ta Mihn had to have been destroyed by his loss.
Bloodbending—the art of turning someone into a People Puppet by Waterbending his or her body fluids.
When Katara discovers she bent Hama's blood. She breaks down crying after this. Not to mention the reason why she had to bend Hama's blood: Hama was about to force Sokka and Aang to kill each other, which is some prime horror on its own.
Watching those pretty fire lilies wither and die immediately after getting their water pulled out of them is pure Fridge Horror: it stole their vitality... now imagine a bender trying to actually bend the blood out of a human body to kill them.
It's also very disturbing to see Hama's veins engorge right before she bloodbends.
Hama herself. She seems like a kindly old woman at first, but by the time you reach her final moonlight duel with Katara, the animation and lighting make her incredibly disturbing. Wrinkled, twisted features, veins popping out her arms, long willowy hair and skeletal hands with nails like claws. The scariest feature has to be the Slasher Smile.
I've never felt more alive.
Hama kidnapped people and kept them underground! She is a blood bender! And she has a very powerful motive for revenge. Imagine the kind of inhumane torture must have gone on in that underground dungeon!
How about Katara's ghost story at the beginning of this episode? Never fails to give the chills. Even though the story has nothing to do with the episode itself, it sure as hell sets up the mood.
The nightmare Aang has after his friends try to "help" him in "Nightmares and Daydreams".
The War Zeppelins are incredibly intimidating. They're huge, they have snarling faces, shoot cannons For Massive Damage, are nearly unassailable because they are crawling with firebenders, and can pretty much only be sunk by a fully realized Avatar- or EACH OTHER. Not to mention they are later used as the Avater-verse's version of a weapon of mass destruction.
There's one in the episode where Zuko joins the Gaang. Zuko spends the entire episode trying to prove himself to the group. No one accepts him except for Toph who wants to give him a chance. She goes to where he is camping for the night, but Zuko mistakes her for an assassin and firebends, burning her feet. The kicker is that she's essentially completely blind. Her feet are useless. What hammered it home is the fear in her eyes as she panics while he desperately tries to explain it was an accident.
In "The Firebending Masters", a glue trap is triggered, trapping Aang and Zuko until they're 'rescued' by the Ancient Sun Warriors. It doesn't sound dangerous on paper, but consider one fact: the room fills itself almost up to the brim with this stuff, with only a grated airhole at the top. Anyone who's trapped would normally race to position themselves up there, and get their head above 'water'... however, when Zuko tried to put the golden egg back, the initial burst trapped him against this grate upside-down...therefore, if Aang hadn't done his one airbending move, flipping him,Zuko would have been face-down in glue for hours at the very least, and suffocated.
Best exemplified by his quote:
Zuko: "At least we have air..."
In "The Southern Raiders", Katara is downright terrifying. She's out for revenge for who killed her mother and she even used bloodbending on the first man she thought was responsible. She then uses her unparalleled waterbending mastery to control the rain and almost kills the man who is responsible. Suffice to say, Yon Rha was lucky that Katara spared his life even when she had the chance to kill. Just, whatever you do, do not hit her Berserk Button.
The whole scene in Sozin's Comet: Part 1 where Aang is unwilling to deal the final blow to the "Melonlord". Sokka walks up and berates him and but Aang explains that it "just doesn't feel right". Sokka grimly pulls out his sword, and the camera pans to Aang's horrified grimace just as we hear a sickening "sqilsh"- but we never actually see the "decapitation". A moment later, the top half of the melon falls and Sokka declares matter-of-factly "There- that's how it's done" while Aang looks like Sokka just killed someone in cold blood. This whole scene is accompanied by the music used when the Gaang has just found out something serious and terrifying. YMMV on this point, but even Momo licking the pink inside of the melon- which is supposed to be comedic- makes one think of the lemur eating a human brain.
The entire scene where she hallucinates seeing her mother in a mirror and talking to her.
Not to mention the tortured cello that plays during her Villainous Breakdown, right before she slices her bangs off.
Ozai's positively gleeful expression as he is literally burning the entire Earth Nation to the ground. It's absolutely terrifying.
Not to mention the horrific tortured-metal screeching sound his fire makes when he's charging it up.
"Prepare to join them. Prepare to DIE!" Only the Fire Lord could make such campy villain banter terrifying.
While, yes, Ozai is evil, the way removing people's bending is treated in The Legend of Korra (practically a Fate Worse Than Death, with most of the victims begging for it not to happen and visibly traumatized afterwards) makes Aang's use of energybending rather... uncomfortable. The Benders are used to it being an extension of their body, so getting rid of it would be like ripping off somebody's arm... or one of their senses. Or both.