Sue Ann: It knows you're here to stop it. And it's coming back to stop you.
Let's not forget Wendigo. Not only was it surprisingly good special effects and acting, the clips of him approaching the Despair Event Horizon after a week of no food hit really uncomfortable places. Paraphrased conversation:
Girl: We can't just leave her [their injured friend] here!
Guy: I'm not saying that, but we can barely look out for ourselves!
Girl: Well, what other plan do you have?!
Guy: (guilty silence) How long has it been since you had something to eat?
Girl: ...You're sick.
That ENTIRE episode counts as High Octane Nightmare Fuel.
Good lord, the fucking Wendigo. YMMV be damned, that thing is one of the scariest monsters on the show. To top it off, it has what looks like A DEER'S SKULL as a head. Sweet dreams.
The thing that makes it truly scary is that Wendigo psychosis is quite real.
Knowing the myth of the Wendigo makes it even worse, and they tell you it during the episode. Pretty much, it's an unstoppable killing machine that can never be full. It'll stalk you until it gets you, no matter how much it's eaten it'll just keep coming after you until it's got it's claws on you.
The scariest parts of the episode were the climax and ending: Imagine being trapped in a dark cave at night with the Wendigo coming towards you and the ending has the Wendigo staring right into the camera.
To paint a picture; imagine a cross between a vampire bat and an ape with extremely sharp teeth and claws and a Hair-Trigger Temper. Now picture it chasing you, with the intent to render you hollow of blood. Oh and sunlight? Yeah it doesn't do squat to it.
While possibly driven less by a rational choice and more by panic, one of the older kids (incidentally the same one that accidentally broke the kid's leg) suggests to the other that they leave the young boy to die out there.
Dover Demon, for all its Blair Witch-iness, taps into the fear of something with gangly limbs and giant eyes coming at you in the dark. And then the night vision comes on.
The end of the Hell Hound episode. To be fair, the whole thing is pretty freaky, but the bit at the end, with the car crash, and then the girl talking to the camera
Some of the corpses that appear in the aftermath of a monster's rampage are pretty unnervingly realistic. Devil Monkey, for example, features the lovely image of a man who was graphically ripped in two.