The fourth movie. His Shadow can be creepy. A number of episodes, like "Twilight", have a genuinely unsettling feel of impending doom.
"Norb" as well; those Mantrid Drones were bloody creepy as hell. Especially noise they made flying around inside Lexx.
The concept of an entire universe composed of the damn things.
The whole "organ harvesting" scene in "I Worship His Shadow" counts as this, especially considering the unfortunate victims are alive during the process.
Brizon's life support tank. Ugh.
The queen worm in "Eating Pattern" is pretty freaky, mostly due to the eerie-looking Wist face on the end of her tentacle-tongue-thing. Heck, the mere concept of the worms from this episode is just plain disturbing.
Giggerota's tongue-with-a-sharp-toothed-mouth-on-the-end-of-it. That is all. Also she served as the prime nightmare fuel of Stanley Tweedle in the episode "Patches in the Sky."
How Lexx looks to anyone outside the crew. It's a biological, insectoid Planet Buster ship being stalked by a creepy undead assassin who periodically goes crazy and a carnivore xenomorph plant. Essentially every space horror trope rolled into one.
790 became crazier and more antisocial as the show went on - Flanderization, or is Love Slave programming just that powerful?