Walt strangling Krazy-8 with a bike lock. Although the way he deduced what he'll do was awesome, it still gives a scary glimpse of Walt's inner ego, Heisenberg.
Tuco punching his henchman to death for talking out of turn.
Heck, him nearly beating Jesse to death is pretty shocking as well, especially since it seemed like Tuco would act compliant before.
"Negro y Azul". "What's the matter Schrader? You act like you never saw a severed human head on a tortoise before!" Then KABOOOOOOOM.
The couple who rob Skinny Pete in Breakage and own the creepy, disgusting house in Peekaboo. Doubles as a Tear Jerker since the couple has a small child who lives in these terrible conditions and is blissfully unaware of it.
That horrible noise when the woman drops the ATM on her husband's head...
In "Over," the way that Walter says "Stay out of my territory and the facial expression that goes along with it are not just scary to the drug dealers to whom he says it, but to the audience as well.
Jane's death. Holy crap. It comes out of nowhere, with Walt attempting to wake up Jesse and accidentally moving Jane onto her back in the process. We then get to witness 30 seconds of Jane spasming and choking on her own vomit, while Walt just stands there, unwilling to do anything.
The One-Eyed, Nightmare Bear Stare from the burned, stuffed toy fished out the pool... creepy as all hell. Not to mention the loose, travelling eye (although, that crosses into funny often enough: creepy funny).
The Cousins. Their stoic nature, their merciless murders, and their thirst for revenge for the sake of family... both packaged with a giant silver axe. These are two people you do not want to cross.
Gus' chilling phone conversation with Juan Bolsa, where we fully see the extent of his plans, as well as the sense of calm satisfaction as he hears Bolsa's Villainous Breakdown and being gunned down by the federales. At this point, his Affably Evil persona starts to disappear, and the Magnificent Bastard that lies beneath and eventually becomes Walt's greatest enemy begins to emerge.
In "Cornered", Walt pays three of Gus's Spanish-speaking laundromat workers to clean his meth club just to spite Gus. Then, Tyrus comes to put the women on a "bus to Honduras." Of course, Walt immediately senses something off and pleads Tyrus to have Gus only blame him and not take it out on the workers. Tyrus responds "he does," implying that Gus may be sensible enough to not blame the three innocent workers but he will probably kill them due to circumstances.
This becomes all the more disconcerting when, in Season 5, Walt and Saul use the Deadly Euphemism of "send him to Belize" to describe killing someone. Thinking back on that "bus to Honduras" makes that particular scene all the more chilling...
Gus in "Box Cutter", climaxing with him slitting Victor's throat with the titular instrument. "Get back to work."
Seeing the contents of a white barrel. 'Nuff said.
In "Rabid Dog", Jesse firmly establishing the outside view of Walt as The Dreaded to Hank and Gomez. Considering Jesse originally thought of Walter as nothing more than an annoying Jerkass teacher who randomly decided to break bad, this is pretty unsettling.
Jesse: What if it's about... killing me? Y'know, getting me out in the open? Hire some uh, some clock tower guy or have me sit on a poison needle, y'know?
Hank: Nothing's going to happen to you. I mean, the plaza is one of the most wide open public places in all of Albuquerque, it's the middle of the day and Agent Gomez and I will be there with you.
Jesse: Look, you two guys are just... guys, okay? Mr. White? He's The Devil. Y'know, he is—he's smarter than you, he's luckier than you. Whatever you think is supposed to happen, I'm telling you, the exact, reverse, opposite is gonna happen! Okay?"
Indeed, Walt himself is a walking, breathing Nightmare Fuel. Beneath that mild-mannered teacher personality lies a murderous sociopath willing to commit capital crimes without a second thought. And remember that all this takes place in just one year.
Hank and Gomez's deaths as their corpses are dragged into a grave carelessly. And the people involved plan to keep that a secret.
The fate of Jesse, who is tortured and forced into slavery by Uncle Jack and Todd. His worn-out clothing, his untamed hair and beard, his broken spirit... if you didn't have a fear of being kidnapped, you probably do now.
The knife fight between Skyler and Walt. Given how far the show has been willing to go before, one could spend the whole scene terrified that Skyler, Walter Jr., or even Holly is going to end up with a knife in their gut.
Just the shot of Skyler and Walt Jr. cowering on the ground in front of Walt, one of Jr.'s arms flung protectively in front of his mother, looking up at Walt like he's some sort of monster—which by this point, he is.
Skyler's scream after Walt drives off with Holly.
"Granite State": When Walt hears the Schwartzs badmouthing him on TV. He instantly turns from depressed and suicidal, to ice-cold determined. It's like a non-physical Dr. Jekyll and Mr. Hyde transformation. All with the extended Breaking Bad theme playing. Heisenberg is back!
The worst part of "Granite State" was Skyler being confronted by Todd and two Neo-Nazis in balaclavas in Holly's room. Todd threatens her and her children, all while remaining eerily calm and polite.
Walt's homemade chemo treatment. People with a fear of needles should stay far away. It's even worse that his assistant's only training came from YouTube videos.
The final episode, "Felina":
How Walt ensures Walter Jr will receive his inheritance. He breaks into the Schwartz home, looking at their belongings while Elliot and Gretchen cook and banter unaware. He then has Badger and Skinny Pete use laser pointers on them, making them think that they are in the sights of two snipers, and convinces them that they'll live under constant supervision and fear until Walter Jr receive Walt's money through them, possibly for the rest of their lives as well.
Walt's "visit" to the Schwartz's could have been lifted straight out of The Strangers: he effortlessly stakes out their pricey hilltop mansion, slips silently inside, and then bars the doors. He's in the house for several minutes before they even notice he's there...
The nauseating sound of Todd's neck snapping.
From Lydia’s perspective: Imagine calling Todd to ask if Walt had been killed, only to hear from Walt himself that not just Todd, but the entire Aryan Brotherhood gang is dead and that cold you thought you had is actually an incurable poison that he slipped into your favorite tea sweetener. Imagine learning that you have have only days to live, knowing that you cannot be cured, from somebody who treats this as simple collateral.
The Neo-Nazis. They're... they're just too good at what they do. Kill ten different people all locked up in prison within a 2 minute window? No problem. Execute an entire drug gang in a matter of seconds? Easily pulled off. Murder two DEA agents and bury them in the desert? Done. Torture a man and enslave him to force him to cook meth? Piece of cake. Break into a woman's house to blackmail her despite the fact that there are police watching the house and getting away without being caught? Did it already. Murder a woman directly in front of her house and saying they'll have no problem tracking down her son and doing the same to him? They'll do it. And you thought the Cousins were bad.
Further Nightmare Fuel: This is Truth in Television. Aryan Brotherhood, the group Breaking Bad's Neo-Nazi is based on, is the most vicious prison gang in the United States. Though they only make up 0.1% of prison population, they are responsible for up to 20 percent of murders in the federal prisons.
Todd Alquist is a Nightmare Fuel made flesh. Behind this average-looking man hides a cold-blooded killer with no sense of empathy. His second appearance is him shooting a kid on the spot, without warning, without so much as asking his bosses' permission. Several episodes later, he beats Jesse to a pulp, imprisons him in an underground dungeon, and enslaves him to meth-cooking, all while holding Andrea and Brock, two innocent civilians hostage. When Jesse tries to escape, instead of shooting him just as Jesse begs him to do, he shoots Andrea as a warning while leaving Brock alive as a leverage. And all after giving him ice cream for a good day's work.