The Invisible Monster. Created from a lab accident, you can only see it by the footprints it leaves. Everything it touches either dies or violently explodes. On top of that, it makes a creepy high-pitched wailing sound. Combine that with ominous music every time it's around, and you have the scariest episode in the series.
In The MovieJonny Quest Vs. The Cyber Insects. The bugs are kinda creepy, but not really on the level of nightmare fuel; but then Dr. Zin kills all of his human assistants! Thankfully, two of them are off-screen -then the last one is turned into a Human Popsicle and crashes to the floor into several pieces.
The Robot Spy from the episode of the same name: a round, black spider-like thing with one big, creepy red eye and a decidedly unnerving set of spindly legs. It also happened to be practically invincible, relentlessly plowing through everything the military threw at it in the episode's climax. That thing had to give a few kids nightmares... and inspired at least one writer for the 1990s remake as a result.
The Mummy in "The Curse of Anubis", especially the horrible shot where the Thing is looking in the window and one can see the rotting corpse under the slipping bandages.
The Gargoyle in "The House of Seven Gargoyles".
Both Turu and the wheelchair-bound Deen in "Turu the Terrible", sinking in the tar-pit.
Von Dueffel in "The Devil's Tower", laughing as he throws grenades at the Quest team, then screaming, "Nooooooo!" when one gets caught in the wing of his plane.
The yeti in "Monster in the Monastery".
Nobody mentions "The Sea Haunt"? The titular creature may or may not match, with its blank, staring, impossibly large eyes and gangly, near-human body, but the setup and pace of the early episode is straight out of a horror movie — and then there's the showdown with the Nigh Invulnerable abomination itself...