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Pretty much any and every scene in the anime with Ryoko Asakura
The Disappearance of Haruhi Suzumiya where Asakura actually succeeds in stabbing Kyon in front of a freaking out Nagato. But that's not the worst of it. Asakura is in full-blown yandere mode, splattering blood on Nagato's face and actually goes over to finish Kyon off with the Psycho-like music playing in the background at full volume. And then she just happens to lean down right into Kyon's face. What make's this scene so terrifying is that when she does lean into Kyon's face, it's done through his point of view. In other words, it's like she's looking down at us. And those emotionless eyes and smile don't help at all.
This is made even moreso once you realize that this particular Ryoko Asakura isn't actually the same Asakura from Melancholy and had actually spent the entire previous part of the film acting as a genuinely nice and caring person, making the entire reveal at the end so much more surprising for some. Either that or she's even more of a psychopath than the real Asakura.
There's a part where she spins around and splatters some of Kyon's blood all over Nagato's face
Turn Up to Eleven in the preview of volume 10: Being trapped between two beautiful girls? Nice. When girl behind your back holds a knife on your throat, while she prevents the one before you from bashing your face in? Of course, as the Only Sane Man, Kyon was scared out of his skin.
Yuki's And I Must Scream throughout Endless Eight. It doesn't hit you until you think about the concept of being trapped in a loop for over 595 years, without being able to express discontent, or even inform the others early on to make it end sooner, because her superiors won't allow it.
Haruhi's very existence is nightmare fuel in itself. Imagine that your very existence and that of everything around you was dependent on the smallest whim of an emotionally unstable jerkass. One that could tear down the very fabric of reality and change everything around you, including you just because she didn't like something. And you probably wouldn't even know that you were erased from existence and then rebuilt according to her whim.
It's actually not that bad. The universe doesn't change that drastically on her whims, at most while unaware of her power she can change causality or have events happen that she truly believes happened. She's limited by herself, she can't outright change the world just because she wants to. She has to actually believe that's how the world was. And despite her personality she has a firm grasp on what's considered normal. Yes, she can change things she's unaware of, but at that point it has less of an impact on the general public.
The events in Disappearence happened because Yuki wound up developing emotions. By the end of the movie, her emotions are purged and everything is back to normal... Or so you think until you see The Stinger, where Yuki observes a small boy getting a friend a library card. It's a cute moment, which serves as a Call Back to a point earlier in the movie where, in the alternate timeline, Kyon had gone out of his way to do the same for Yuki, which, in that timeline, was how they first met (in the original timeline, Kyon had gotten Yuki the card just to get her out of the library). Cue a chill down your spine as you realize "Oh shit, Yuki's developing emotions again!"
The Shinjin/Celestials. They're bizarre titans that only appear in closed space, and exist only to wreck everything. If the Organization doesn't get rid of them, the closed space spreads, and threatens to overtake the world.
The scene in one of the episodes of Sigh, where Haruhi drugs Mikuru to make a scene in her movie. The scene was heading in a direction where Koizumi was going to kiss her. We knew before that Haruhi had some messed up morals, but this was going a bit too far, considering that this girl could control the universe. Her power mixed with this particular situation is a bit off putting. Imagine how far it could have gone.