In the first trailer for Birth by Sleep, Ventus' No-Holds-Barred Beatdown at the hands of Master Xehanort ended with the former being frozen alive and aware of it. Then he falls off a cliff, parts of his Keyblade and armor shattering as he collides with the cliff's face. If Aqua didn't catch him, he could have shattered like glass.
It's worse when this happens in the actual game, since you get to see the aftermath. Being frozen sounds quite painful.
Vanitas is both sadistic and insane at the same time. The fact he looks and sounds exactly like Sora if he had black hair and yellow eyes makes it a thousand times worse.
The fate of Cinderella's evil stepmother and stepsisters harkens back to fairytales of old as their crimes are punishable by a (deserved) fiery death at the hands of the Cursed Coach. The camera cuts away before we see anything, but judging by the look on Cinderella's face, the result wasn't pretty.
The Unversed, while not as disturbing as the Nobodies, have the colorful appearances of the Heartless, but none of their cute aspects. Several Unversed take on the appearances of harmless items (like a pumpkin) apart from their creepy features and powers. Their only consistent features are their red eyes, dagger like appendages, and the Unversed symbol.
The tornadoes chasing players down don't help matters. They're massive, difficult to avoid, and each one of them leads to a battle in a freaky alternate dimension with some of the most powerful standard enemies in the game.
The ruins of the Land Of Departure are quite creepy, especially if you run into them in Ven or Aqua's story first and have no idea how it got that way.
The secret ending of Birth by Sleep Final Mix. After an entire secret episode spent in isolation in the Realm of Darkness fighting Heartless, Aqua runs into something rather startling — the Castle of Dreams, corrupted by the darkness and surrounded by evil-looking clouds. It doesn't help that a somewhat distorted version of Destati starts up at that exact moment.
The Hunter of the Dark boss from the secret episode is fought in total darkness. It stalks Aqua from the darkness when it appears, only its red eyes visible, before the camera shifts to its perspective as it attempts to pounce.
The cutscene before the battle starts from the boss's perspective. You then see the red light from its eyes appear and zip across the clearing. When the eyes first appear, it looks like they're looking at you, not Aqua.
When you defeat Master Xehanort in Terra's penultimate boss battle, you can hear him say, in a faint yet distinctly chilling tone, "Only now... have I truly won...". Considering how emotionally charged the cutscene before the fight was (featuring probably the most believable voice acting Jason Dohring does as Terra), the feeling of triumph is quickly dashed by that one short line and what comes after it.
Especially because, before Birth By Sleep originally was released, fans had discussed different theories as to how these characters related to the "modern-day" characters of the series, with one extremely popular (and very disturbing) theory being that Master Xehanort commits Grand Theft Me on Terra to become the modern-day Xehanort. When you hear Master Xehanort say these words, your worst fears become verified.
Aqua being strangled in the final story. Not only is it unnerving to see one of the main characters have this happen to them; another level of horror is added when one realizes that it is essentially Terra doing this to her.
There's one part of the final battle in the final chapter where Xehanort's shadow holds Aqua down while Xehanort stalks towards her in a very threatening way. The game lets you mash the button to try and break free, but Failure Is the Only Option, so you have to watch Aqua futilely struggle as Xehanort raises his weapon...
Heartless aren't as widespread in this game as they are later. People losing hearts isn't that much of a problem. Then, when you first get a game over, it hits you, unlike the standard lifeless body with floating heart implying you became a heartless of later games, there's just a lifeless body. That's right, you're not facing being turned into The Heartless with a chance, however slim, of coming back, you outright die.
Of course, it's not any better when the Heartless do show up. The first time you see the Heartless, it's in a flashback where Ventus is nearly killed by Neoshadows and Xehanort decides to create Vanitas. They show up again in Final Mix, where Aqua has to constantly battle against Heartless as she wanders the Realm of Darkness. Not only are these Heartless composed of the terrifying Pureblood Heartless, they are extremely powerful and can kill Aqua rather easily.
Vanitas speaks with his own voice and Ven's at the end of Aqua's story.
If Xehanort wasn't creepy enough, one of his reports says that originally his Grand Theft Me was going to be on Ventus.