The Dusk Nobodies move with a strange boneless gait and tend to resemble humanoids made of cast-off gray and white clothing. Organization XIII is made of the same Nobodies, just humanoid in form.
Axel lampshades this early on, near the end of Twilight Town.
Axel: Man, oh man, even the Dusks aren't gonna crack this one.
The Dusks are extremely weak enemies, so he almost certainly isn't referring to them in their capacity as combatants.
Also potentially frightening is the fact that Organization members are constantly threatened with being turned into one of the aforementioned Dusks as a punishment.
This was mentioned on a Fridge Horror page: none of the Organization members question Xemnas' apparent ability to turn them into Dusks, or assume that he is lying to bring them to heel. How are they so sure that he can do this? Have they watched him do it before?
It was easy to get Mood Whiplash when entering "The World That Never Was" at the end of the game. It gives off this bizarre feeling of family-friendly existentialism, with creepy background music and floors with names like "The Altar of Naught", "The Hall of Empty Melodies", and especially "Proof of Existence" — the Nobodies aren't supposed to exist, and they believe their death means absolute Cessation of Existence, so that graveyard-like room is the only proof they ever existed.
The game starts with Roxas essentially losing his own individuality, forced to re-join Sora in spite of his desire to be his own person.
Saïx, during his boss battle, tends to yell "All shall be lost to you!" with the voice of a complete psychopath. The guy's pretty much The Berserker, mostly due to his moon-based powers inflicting him with literal lunacy.
The final boss from the first time you go through Beast's Castle, Shadow Stalker/Dark Thorn, actually (temporarily) eats Sora during the fight.
Right after Sora and Riku are left stranded in The World That Never Was, the entire world they are in begins essentially caving in on itself.
The final part of the final battle takes place literally nowhere, in a place that doesn't exist. Go with it.
Slightly mitigated by the fact that the next time you visit The World That Never Was, it's more-or-less intact, meaning that it either got better or the world caving in on itself was actually Organization XIII's Kingdom Hearts.
The battle against Twilight Thorn in the prologue. That boss is the Nobody counterpart of Darkside, and holds Roxas captive at any given possibility.
When Roxas is held captive, successfully doing the final reaction command will cause The Twilight Thorn to slam against the ground in a near instant. If you are unlucky enough for the final blow being that last reaction command, the Twilight Thorn will hit the ground and the game goes into the same slo-mo that happens when you beat a boss, but this time it shows the Twilight Thorn lands face first, making it look like it's neck was broken.
Oogie-Boogie's first demise is just like in the movie — his burlap skin unravels, and zillions and zillions of bugs start crawling out all over the place. The whole "bugs-in-Oogie's-shape" part, however, is thankfully scrapped.
While the manga is only thinly connected to the games and is VERY cartoony, one scene in particular had a huge case of Mood Whiplash. In the game, when Shan-Yu is defeated, he just passes out. In the manga, once Sora defeated Shan-Yu, he is on the ground and is approached by Xigbar. Shan-Yu begs for more power, and what does Xigbar do? He shootshim! In the head! The manga is rated E.
Most of the chapter has normally happy-go-lucky Sora being pushed beyond his limits. He looks absolutely pissed that Shan Yu, The Heartless and Xigbar are keeping him from finding Riku. Well, at least until the above happens.
Seeing Radiant Garden Tron being bound to a wall and tortured by Sark is horrifying enough on it's own, but considering what happens to the real Tron, especially after Sora defeats him in KH3D...
Regardless, seeing any characternote that doesn't deserve it getting tortured by electrocution is horrifying. The main trio even go through with it, with the torture victims being Donald and Goofy in the game, and Sora in the manga.