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Nightmare Fuel: Birdy the Mighty
Tsutomu's death and some of the villains Birdy fights. Birdy's boss, who's a giant insectoid creature, might also count, not to mention her mentor who's a giant lizard with a face like a skull. There's also Violin's death and the events around it.
The entire Ryunka disaster at the end of the first season. Essentially anyone hit by it transforms into glass, shatters, and then melts.
Pretty much everything about Shyamalan is deeply creepy. This is a guy who plots to use the Ryunka to wipe out most of his own kind (something we don't see any other villains do) and does it all with a beautiful boyish smile on his face—the few times he does get angry or excited it's all the more terrifying because it's so unusual. He perfectly combines Bitch in Sheep's Clothing and Face of an Angel, Mind of a Demon so he's easy to trust but can't be trusted. He's got an entire collection of creepy dolls, and seems to treat both Ondine and Sayaka like dolls as well (though Ondine is at least a marionette), to say nothing of the subtle implication that he fancies Sayaka.... It's terrifying if you think about it hard enough.