The demon beasts (or in the English dub, monsters) are primarily filled with this. Most are actively violent and willing to cause harm, and with some imagination, it's pretty much guaranteed to score some frights. For example..
WolfWrath (Chilidogin Japanese). It's worth noting that in the fansub, Customer Service calls it "the demon beast born in the fires of Hell." It's a fire-breathing wolflike creature with massive claws, which rampages through Dedede's castle and nearly kills MetaKnight. As it is, Meta Knight spends most of the episode under a paralyzing curse, with Sword and Blade disregarding what nearly were his final words ("K-Kirby... protect Kirby at any cost... I beg of you...") in favor of trying to find a way of freeing him from said curse.
"We were doing it for the sake of our lord!"
Kirikasan. An apelike creature with scythes for hands, and probably the only (named) creature of the show to directly kill someone, complete with a Dead Hand Shot.
Masher. A Killer Robot filled to the brim with so many weapons it's not even funny. It also returns a second time, this time even more dangerous. The latter episode opens with Knuckle Joe fighting a losing battle against Masher 2.0, and then waking up in the castle after a dream about his dead father, covered in bandages with Fumu/Tiff and Kirby standing over him. He sports said bandages for the rest of the episode, with Fumu/Tiff repeatedly telling him to stay in bed, but no option to actually do so because Masher 2.0 has found him. Oh goody.
Dedede in the dub is a parody of George Bush, and a hilarious one at that, but in the original, his idiocy leads to active death threats, and attempts at murder (usually of children), nearly every episode. He also holds a Book Burning to cover up the fact that he doesn't know how to read. The more you look, the clearer it is that he's a bit more than a harmless buffoon who only holds the title of King because the Cappies let him.
And the grand prize goes to Scare Tactics (Japanese title: A Midsummer Night's Scream) Part 2. OH GOD. From the numerous horror movie references (including an homage to the shower scene from Psycho), the ghosts (like a plasma ghost that leaps at the camera, and a baby ghost with a seriously disturbed face) to a seemingly bleeding skull (it was red paint, but still) to that clock room, to a torture room (containing Dedede's apparent death, complete with more red paint blood) to the chaos of it all, and the fact that it's an elaborate death trap Haunted House that Holy Nightmare Co./NME sent over without anyone knowing initially. In the end the place burns down, thanks to a mishap with Fire Kirby. If you want to see it in full detail, watch it yourself in whatever form you may prefer (English, Japanese with subtitles)... it got a few cuts in the dub, but this could only lower the horror level so much.
Escargoon Squad. Very similar to Scare Tactics, it features Escargoon attempting to get revenge. Such examples include a FREAKING TORTURE/GHOST ROOM THAT SCARES DEDEDE CRAPLESS. Also, one lightning flash causes Dedede to go into a horrific state of distortion, almost to the point of being unrecognizable.
Nightmare himself really lives up to his name in this anime series. Not only did he conquer countless planets, he also wiped out an entire resistance group (with Meta Knight being the Sole Survivor) and sent a meteor crashing into Pop Star. And since his only weakness was the Star Rod, he was completely unstoppable until Kirby arrived to do so. Even worse in the Japanese version, where he would always exist as long as there was darkness in people's hearts.