The Japanese version of Axel's kamikaze death was bad enough that it had to be censored for Western audience. To clarify, Axel's element is fire, so he essentially burned himself alive.
Similarly, Axel executing a kneeling Vexen from behind after Vexen begged him to stop in Chain of Memories could be upsetting. The modifications made to that scene in Re:Chain of Memories made it even worse by immolating him on-screen as Sora watched in horror.
Zexion's death, like Vexen's, was made much more horrifying in Re:Chain of Memories. Instead of having the life drained out of him off-screen, Riku-Replica holds him by the collar as he begs for his life, and the camera watches from behind as he stops resisting and his feet are left to dangle lifelessly.
Larxene's death isn't as graphic, but when she realizes she's fading away, she starts desperately grabbing at the pieces of her being, trying to keep them in. It may be worse in the Japanese version because her voice actor sounds absolutely terrified while it's happening.
Not exactly, their bodies still belong to the original Heart. But think about a Nobody reforming into its somebody. Its said outright that a Nobody has a separate sense of self and personality inherited from the Body and separate from the Heart. Now, when they reform, said sense of self is assimillated back into the original Heart. That wouldn't be a problem if the Nobody adopts a persona like the original (ie. Axel), but what about for those who didn't? Fading into the darkness waiting for your Heart to be liberated is already bad enough, imagine your sense of self and your indviduality being stripped away forcibly. Yikes.
Neoshadows, more poweful version of Shadows, made their debut in - Sequel Hook trailers aside - the Japan-only updated re-release of the first KH game. While their Chain Of Memories and Kingdom Hearts II counterparts behave like regular enemies, their original self are more cunning, as they actually plan during battle. One of their most unsettling tactics involves a Neoshadow pinning Sora down while the others do the rest.
Some of the little details in the way dying or pained characters are animated are pretty upsetting upon closer inspection. Among the worst include Roxas involuntarily twitching as Ansem-Riku choked him into unconsciousness, Zexion's feet swaying around like a hanged man's as the life was drained out of him, Riku-Replica looking very much like a corpse when his heart was broken, and Master Eraqus falling forward towards the camera with unblinking eyes when he was killed in Birth By Sleep.
There's a section in the End of the World called the World Terminus. You go through, fighting through small sections of the other worlds in the game, all familar areas (The Third District, Rabbit Hole, Agrabah etc). Then you come to Hollow Bastion, and access what is implied to be the freak-lab where most of the Original Generation villains' Start of Darkness happened. Just for context, here's a Let's Play showing said lab.
Other frightening locations include The Heartless Manufactory and the secret basement laboratory operated by Xehanort and his fellow apprentices. The Manufactory is a location in Kingdom Hearts II where the MCP starts mass producing Heartless in order to invade Radiant Garden, and is also, according to KH3D the place some of the original members of the Organization lost their hearts. The basement laboratory contains a prison-like area in which the doors are chained shut, which is implied to be where Xehanort's human test subjects were held, as well as the Chamber of Repose, in which Aqua's armor is placed. Xemnas is not to be disturbed while he is down there, under any circumstances.
Many of The Disney Villains can still be Nightmare Fuel when you fight against them, like Giant Ursula, Maleficent in her Dragon form and others. Just cause you've gotten older doesn't mean they still can't scare you like they did when you were a kid!