There are several scenes that heighten the viewer's fear of Nothing Is Scarier. For instance, there is a lot of long-lasting shots (5-10 minutes) of absolute white/ black, while the soundtrack (if it can be called that) turns into something that sounds like blood rushing into your ears, making it impossible to tear one's eyes from the screen yet be terrified at the prospect of what might or might not happen.
So very much. From the Man-Made Chickens, to Henry's child◊, to The Lady In The Radiator, to ...
As did the subsequent lung-stabbing, after which it was gushing blood...or some kind of fluid.
The baby's Bizarre Human Biology (it's technically human, despite looking like some space alien critter) itself It literally has no body...it's just a weird head with a long neck and body organs! Another interpretation is that the "bandages" is its body and that Henry basically cut a baby open!