The hallucinations Zimmy suffers (for example, in Chapter 11), during which she is sucked into a cursed version of Birmingham populated by insects, giant monsters and people with no faces. This may actually be something of an improvement over the real Birmingham.
From Chapter 4: Not very scary:
The illusionary circus Mort creates for Paz in Page 7 and Page 8.
From the Summer Holiday special:
Page 9 is nice except for the fourth image. Those eyes.
In Page 18, when Jeanne puts on her Game Face and releases all that bottled-up rage.
From Chapter 31: Fire Spike:
Annie's dream/flashback in Page 25, after running away to the forest.
From Chapter 34: Faraway Morning (and Three Short Tales):
The ghosts from the mandolin in John/Margo's tale in Page 12.
Even after it's gone, Jack can still remember the Spiderwhispering to him. On and on, over and over.
From Chapter 35: Parley And Smitty Are In This One:
Robot being cut right through and Shadow 2 being torn away from the ground by Coyote's Tooth. They turn out to be perfectly fine, though Shadow 2 is disoriented, but considering it's Coyote's Tooth that did it, the scene in question is definitely an example. Also, all the time the sword is laughing. Swords shouldn't laugh...
Kat's Etheric look in Zimmy's eyes, despite it's high-quality art, the fact it has no speech bubbles, no more than one panel, just... That. It's made even worse by the text on the previous page, and Tom's comment ("One day, Zimmy.") which becomes even creepier if you remember that it's a reference to a much earlier strip where Zimmy declared: "One day I'm going to die here (in Zimmingham)".
There's something subtly scarey about how old Jones is. She seems normal and all, but in truth probably is closer to a Humanoid Abomination that any other character. The more you think about it, the more eldritch she becomes. And that's not even counting on the implications behind her relationships with Eglamore and Samuel.
Hetty's malicious behavior in general; she takes great delight in constantly tormenting a young boy as punishment for her condition and his 'treatment' of her - when he certainly wasn't the one who trapped her in the form of a doll, and in addition doesn't even know she exists. He was just left ownership of her in his sister's diary - a sister who, by the way, it's heavily implied Hetty killed, or at least had a hand in her 'accident'. And her next victim is the brother.
Although he isn't exactly evil, Ankou's appearance is absolutely terrifying (as noted by Kat ). Given that he looks like a dessicated corpse with a scythe, he's probably the only of the psychopomps to approach a traditional western image of death.
Even worse is the true form of the vampire who brought Mort in to the ROTD. He went from a silly looking Bela Lugosi-type vampire to, well... this. Think Orlok, except with a huge mouth full of sharp teeth, his face and chest completely covered in blood, and part of his skull exposed.
Subverted when it turns out that it's actually a mask. He actually looks like a normal middle-aged male.
The premise of the chapter: after dying as a child, Mort has spent around seventy years haunting one of the Court's basements before deciding to give it up and move on.