The fifth opening theme "Sugar Sweet Nightmare" is a bit unnerving. One scene in particular is when human hands burst out of the mouths of cats and roughly grope Tsubasa's naked body as she tries to run away from them.
There's also one of the final scenes in the last episode. The cat licks Koyomi's neck and his tongue is sharp enough to cause Koyomi to spout blood out of his neck.
Kiss-Shot's appearance at the end of Mayoi Jiangshi. She doesn't do anything particularly horrible onscreen but still, creepy.
The beginning of the Nadeko Medusa arc starts off with Snake God Nadeko stabbing Koyomi, whose body is already torn up from her previous assault, and giggling creepily in a shower of his blood. The entire arc is her descent into insanity.