The game environments in general. With the exception of the characters you need to interact with, there's literally not a single person in sight, even in Downtown Retroville or the Retroland theme park. The mood it gives off is overwhelmingly unsettling. Taken out of context, it feels flat-out post-apocalyptic.
The Yolkian mooks' repeated "Intruder alert! Intruder alert!"
The lack of music in the subway station and inside the school.
The creepy hissing noise in the background while Jimmy is escaping the Yolkian ship.
When Jimmy attempts to shrink Cindy's dog, he accidentally had his shrink ray set to clone, thus creating several barking dogs. While the cloned dogs may not even move from their spot, it may frighten unknowing players.
A Yolkian face can be seen through the static on the TV in Jimmy's house.
The ominous music at Area 51. There's also a police car that, if it reaches you, teleports you back to where you started started. It's likely to startle you.
"No civilians are allowed here. Time to go home, little man."