The Halloween Safety episode. Though the ending could be considered more of a parody.
TheTunnel. Ross Scott deliberately stated he wanted to do a scary episode. He succeeded.
So what's scarier? Wandering around in tunnels with nothing but a flashlight, only to find a dead body stripped of all it's flesh? Examining the scene and talking to your friend only to realize your friend has disappeared? Heading back to the room and finding its inhabitant is standing at the door with a slasher smile? Getting knocked out and waking up to find that you and your partner have been left to hang upside down in some kind of cocoon with monsters about to attack? Or maybe it was the stinger at the end where the inhabitant still has his slasher smile going.... and he turns and looks directly at the screen?
"You'd better watch out...because Santa Claus is coming...for you."