For starters, there's Stripe, the most sociopathic of the Gremlins, especially in the climax when he goes Ax-Crazy trying to kill Billy and Gizmo with a chainsaw. Even as a Mogwai, he had a sinister look about him, not to mention how he gets the dog hung up with Christmas lights. Then there's his Family-Unfriendly Death, when he essentially decomposes at an alarming speed and then pulls a Jump Scare one last time with his skeleton. Even pre-pupa, Stripe constantly wears a sadistic grin on his face.
Mohawk is no better. He's much more wicked and fiendish than Stripe, and his looks are even more reptilian, threatening and menacing than those of the other gremlins. Gee, even as a Mogwai he looks insanely creepy!!! The way he tortures Gizmo and laughs sinisterly about it is just plain frightening. And there's also his Giant Spider mutant form... Imagine how arachnophobes must have felt at that scene.
Gremlin birth. 1) Mogwai -> mogwai. Gizmo-screaming. 2) Pupa -> gremlin. Giant slimy bug-looking things cracking open while Gizmo hides in the motorcycle helmet. 3) Gremlin-> gremlin. Watch the scene with the lightning gremlin and the fire hose. Then try to take a shower without scrubbing your back furiously.
"And that's how I found out there's no Santa." This is the climax of the speech Kate gives explaining why she doesn't believe in Santa and/or hates Christmas: when she was a little girl, her father disappeared without a trace on Christmas night. They never saw him until days later, when the house started to stink. It turned out he had wanted to surprise his little girl by playing Santa Claus, to the extent of trying to come down the chimney for her... instead, he slipped and broke his neck and got wedged in the chimney. And Kate was there when they hauled his decaying body out of the chimney.
Take the already dangerous and ubiquitous power of electricity and give it (semi-)intelligence and self-control. Oh yeah, and make it evil. Probably one of the most terrifying gremlins, when you think about it. Then there's the winged one that has immunity to sunlight, making it a Bat out of Hell and it can respawn gremlins with solar immunity, thankfully it was turned to stone.
The scene where Billy's mom is in Billy's room with the hatched pupas. Silence....then the radio starts playing "Do you hear what I hear?". For Christmas music, it's quite terrifying.
The fact that we still have no idea what happened to many of the people in Kingston Falls; indeed, it's quite possible many of them died.
The Game Over screen for the Amiga version of the game based on the second movie, set at night with a somber version of Gizmo's Theme playing over it. There is also something unnerving about the giant gremlin statue in place of the Statue of Liberty holding a giant stick of dynamite that looks like it could explode at any moment, though it never does. See it here.