How about the artwork in the end credits? Seeing the hero about to be crushed by closing spiked walls, tied up and sinking while sharks close in for the kill...
It's surprising that the kids of the 60's who watched this weren't scarred for life at the death toll. At least 6 people die per episode — people EXPLODE, fall out of airplanes, fall off dams, get crushed by car lifts, get run over, get shot in the FACE, and turn into living bombs.
Captain Black is Nightmare Fuel incarnate.
The opening credits put the camera in the viewpoint of someone sneaking down a dark alley who is suddenly caught by searchlights, unloads an entire clip into his attacker and is shot dead. By the Hero, who doesn't even flinch as he does so.
In almost every episode, at least one person is killed so they can be replaced by a Mysteron "clone". Crushed in garage car-lifts (while cheery music (turned up loud, no less) plays from the garage radio), strangled with robot hands, brake lines cut. And then we see the dead body duplicated by the Mysterons. For true nightmare fuel, watch the end-credit sequences, where Captain Scarlet is subjected to ten different death-traps.