Baron Von Strucker's red artificial arm (called the Satan Claw in the comics) can sap the life from anyone it grabs, and he does it several times, but the first time he does is to a hapless SHIELD agent who literally gets the life drained from his body until he's just a hollow-eyed corpse.
Loki gets banished to the Isle of Silence, a giant tree floating in mist where no sound exists, and where you are constantly watched by Odin's ravens.
Especially horrifying if you know what a torture pure silence actually is. In a room built for audio testing that absorbs all ambient sound, a person can only spend half an hour in it before disorientation sets in and they begin to hallucinate.
His punishment at the end of episode 26, being wrapped in vines, and serpent venom being dripped into his eyes. Bonus points for being based on real Mythology.
The scene in "Meet Captain America" where the Asgardian monsters are let loose in Red Skull's fortress. Just the silence and the flickering lights, combined with the ominous growling of the giant wolf make it pretty scary.
Back in World War 2, Baron Zemo plans to unleash a deadly disease called Virus X upon the Allies, but in a battle against Captain America the virus spills on Zemo, and in a horrific scene, Zemo's face mask melts and grafts around his face. And when the screen goes black, you can still hear him screaming...
Ulysses Klaw's painful transformation into a being of living sound.
Also, his voice after the transformation is pretty darn scary in and of itself.
Klaw:The sound... the sound...
The entire two episodes of "Gamma World". From the video recording of three SHIELD agents transforming into hideous monsters, to the individual transformations of the Avengers (especially Iron Man's, providing the current page image). Also the scenes during The Leader's monologue where the gamma-dome spreads over the city, mutating average citizens into huge, creepy gamma creatures. The Leader is also voiced by Jeffrey Combs, who voiced Scarecrow in The New Batman Adventures, so suffice it to say he is a bit creepy.
When you think about it, Wasp's transformation is probably the worst. Consider the Body Horror involved when your human eyes turn into compound eyes, your face and mouth into mandibles, and your arms and legs into insect-like claws. Then again, don't consider it.
When Black Panther blows up the gamma generator, the blast tears off part of his mask, and causes him to grow fangs. After the Leader re-activates it, Panther has to suffer developing a feline face, re-growing the fangs, and having a tail extend out of his behind. Granted, all of that occurs offscreen, but just imagine it...
When Iron Man is being transformed, we get a surprise shot of his heart. There are wires growing into it.
In "The Casket of Ancient Winters", Malekith the Accursed is a Dark Elf who happens to be undead. Half of his body is a sickening bluish-white, while the other half is black with a yellow serpentine eye. And when he finally dies, he hardens into a black corpse, and disintegrates into dust.
Not to mention his minions are giant, savage wolves, velociraptor-like creatures made of ice, and grinning smoke-demons.
Ultron's freaky Mind Probe of Maria Hill, seen in that page's image.
In "This Hostage Earth", Crimson Dynamo and Captain America are interrupted in battle by moaning skeletal spirits who come through an Asgardian portal. Needless to say, Dynamo gets pretty freaked out.
On that note, there's Captain America's journey to the Land of the Dead, where he is haunted by the ghosts of his old war partners, and then meets Hela, the Goddess of Death, who keeps certain souls locked up in glowing crystals that float around her throne.
In the season 2 episode "Alone Against A.I.M." we have Technovore, a monstrous nano-tech creature that consumes technology. It looks like a cross between a millipede and a dragon, with a lamprey-like mouth and a dozen barbed tongues. It uses these tongues to pierce through Tony's chest arc-reactor and suck out its energy, causing him intense pain and threatening his life. And on top of all that, it appears to be sentient enough to talk.
At the end of "Acts of Vengeance," we get a glimpse at a potential future Big Bad: Surtur. Huge, firey, with a fist as large as an Asgardian, and powerful enough that he wrecked the realm of Nidavelir.
Amora's reaction really sells how bad this guy is. She isn't scared, she's utterly terrified.
Surtur: Amora the Enchantress... You serve me now!
Amora herself was rather creepy when hunting down the rest of the Masters of Evil. When Chemistro is chasing her, he actually turns her into wood, and we see her hand transform back. This trooper got the chills.
It is revealed in "The Ballad of Beta Ray Bill", that Amora was possessed by Surtur to be his servant and leader of his demon army. However, the real Amora is still trapped inside, and whenever she gets a chance to come out, desperately pleads for someone to save her, even going so far as to ask Thor to kill her and end her misery. It gets even worse when Surtur takes back possession of her and speaks through her in his terrifying, demonic voice. Quite chilling to say the least.
Surtur's genocide against the Korbinites, then his relentless pursuit of them, entirely For the Evulz.
The first time Scott Lang becomes Ant-Man, he almost gets lost in an environment where everything towers above him, and also nearly gets eaten by ants.
Hank shrinking Cassie can come off as this, due to Adult Fear.
Korvac's torture at the hands of the Kree.
When Bruce has been convinced by the Skrull pretending to be Steve to turn himself in and prove his innocence in the Red Hulk incident, he seems fine...until he sees that General Ross is in charge of capturing him. He panics, and a shock collar is snapped on him to knock him out as he pleas for Cap not to let them take him.
The Skrull ship has a bit where the prisoners are being tortured. The screams are utterly blood-curdling.
For two months, Captain America was their captive, but didn't break. While any viewer would applaud the fortitude, note that the Skrulls are stunned by such resistance, especially since Cap doesn't have any super powers. With other prisoners screaming and the Skrulls not expected to pull any punches, it makes you wonder what horrible things were done to him.
The Skrull paranoia during "Infiltration" and "Secret Invasion" is bad enough, but there's a little extra horror in there involving Tony (he's just so lucky in this series, isn't he?). The Skrulls upload a virus to his suit, which ends up compromising the Arc Reactor, and he's slowly dying throughout "Secret Invasion". When they're free to do so, Fury and Hill ask what they can do to save him. His response? "Take out my heart." He's referring to the Arc Reactor, but it's still quite chilling, not to mention how he screams and spasms when they do take it out. Maria then has to fix it, following instructions from Tony, who passes out/possibly dies just before she can finish. She manages to save him, but gods, as if he hadn't had enough reactor moments already!
Anything involving the Skrull Captain America can be chilling, but that all reaches a climax in "Secret Invasion", when "Cap" delivers a speech to the entire world asking humanity to surrender themselves to the Skrulls. Just imagine seeing a man you've trusted or idolized as a hero for many years, suddenly telling the whole world to give in to an invading force of aliens.
On that note, consider earlier in the same episode when the Skrulls initiate their invasion plans by taking out key strategic locations. Oh Crap naturally ensues among the people there. Maria winds up surrounded by Skrulls on the Helicarrier (though this Maria was a robot thanks to her savviness), while SWORD has to do an emergency evacuation ASAP. Perhaps the creepiest moment is at the Baxter Building, as Reed walks in on Skrull!Sue activating a detonator. "So it is written." *shudders*
The way that Clint reacts when he sees Queen Veranke under the guise of Mockingbird shades into Adult Fear pretty quickly. He immediately worries about the real woman and what horrible things might have been happening to her and the way he screams empty threats at the skrull imposter is unsettling.
A bit of Paranoia Fuel as well as horror in-universe is in Vision's debut episode when Janet and Jane Foster are watching a scary movie at the mansion and just when the monster reaches out, Vision's arms phase through the screen, freaking out both ladies. Just imagine if something like that happened to you in real life...
"Assault On 42" gives us the Annihilation Wave, a horde of vicious, mindless alien insectoids from the Negative Zone that exist only to destroy. They look like flying scorpions with fangs, can eat through anything, and utilize the Zerg Rush tactic at its deadliest. They even cause the deaths of several SHIELD Agents and supervillains.
The creepiness of the Annihilation Wave is in full effect when they apparently kill Blizzard by swarming over him then dragging an AIM minion and a SHIELD agent off screaming into the eternal void of the Negative Zone. To top this off, both of these methods were combined when Thor breaks the Cosmic Control Rod and the wave begins to swarm on Annihilus himself.
As if he wasn't bad enough the first time, Ultron's return brings about for him a new body and a new imperative. Although despite the fact that his new body looks even more badass and Obviously Evil, it's actually not quite as scary as before, probably for that very reason. However, his new imperative is even more freaky than his Kill All Humans one from earlier. This time he wants to replace humans with cold, emotionless, "perfect" robotic doubles while keeping the real humans in an Electric Torture / And I Must Scream situation to feed the information from their brains into their synthezoid counterparts. Oh yeah, and he does this to several of the Avengers in the episode. Except Wasp. His special plans for Wasp are to insert her entire consciousness into a robotic "girlfriend" for himself. Welcome back, Ultron.
And then the robo-vengers themselves are downright creepy. Exactly like the real Avengers, except without emotions or free-will. And of course how their faces look underneath... *shudder*
"Say hello to Iron Man 2.0."
The robotic scorpion things that stung the captured Avengers in the neck and placed them in a catatonic state. They even showed the inner part of Ms. Marvel's mind convulsing in agony and Hawkeye's eyes turning a mechanical red when they were both stung.
"You are nothing to me. One by one, I will destroy you. I will never tire. I will never show mercy. I will never stop until each and every one of you are de—!"
What, no mention of how Vision knocks Wasp unconscious by phasing his hand into her head?
Hank Pym proclaims in "Yellowjacket" that he has created a new version of the Big House. Yellowjacket puts criminals inside it by shooting them with a gun that shrinks them against their will. Eventually, he and the Avengers get trapped in it. Soon after, the molecular structure becomes unstable, and the prison nearly crushes everyone.
Purple Man's takeover of the world. It's kind of like how The Leader tried his takeover in the page image, only the worst thing happens here: He Succeeds. Thanks to Stark, a satellite and his biologic powers, he gained complete control of the world. Pretty creepy how without Vision the whole world would have been subjugated to the will of one man.
With extra horror points for what he does to Tony: no one else in the episode is conscious of the control while they're under it, but at several points Tony is...and the look on his face when he knows he's going to have to kill his friend is agonizing.
"Code Red" features a chemical attack on the Avengers Mansion and the surrounding area. Everyone exposed to the Red Skull's Dust of Death takes on the likeness of the Skull.
In "Live Kree or Die" we get to revisit the same Kree Torture Technicians that worked on Korvac, only this time they begin to experiment on Ms. Marvel, Captain America, and Wasp, with Carol trapped in Electric Torture, Cap having his limbs stretched to their limits, and Wasp about to have her wings dissected off.
When "Courage" begins, Captain America became injured so badly after fighting the Wendigo in the Arctic, he can't do anything except lie in the snow and slowly bleed. He can't even talk without pausing. An inexperienced Wasp must now fight the Wendigo alone, in a blizzard, equipped only with Cap's shield. On top of that, Cap briefly comments that this wouldn't mark the first time his body became completely frozen.
"Enter the Mandarin" has Mandarin mind-control a giant fire-breathing dragon, Fing Fang Foom, to attack Stark Tower. If that doesn't sound too scary by the show's standards, the Avengers ultimately save the city by removing Mandarin's mind-control ring. Fing Fang Foom then grabs him, and the two teleport out of Manhattan. Panther theorizes that Fing Fang Foom will eat the Mandarin.
"When The Grey Gargoyle Strikes!" reveals that the Grey Gargoyle came Back from the Dead, and went on to take over Nornheim. When Iron Man, Captain America, and Thor enter the realm, they find all the people turned to stone.
The time jumping-sequence in "King Solomon's Frogs" briefly lands Hawkeye, Black Panther, and Ravonna in 2080 Paris, which is becoming destroyed by giant robotic spiders for no apparent reason. The frogs then take the trio to the WWII glory days of Captain America and Bucky Barnes, whereupon Cap and Bucky tackle Panther and Hawkeye after mistaking them for HYDRA agents. Bucky's confusion actually gets Played for Laughs.
The Madbomb turning Black Panther savage in "Mayhem of the Madbomb!"