The episode "God" is entirely serious. It's a flashback to Louie's childhood at about the age of nine, in which he acts out in Catholic School, and his teacher brings in a guest speaker. The guest speaker goes in to horrific detail about the tortures Jesus endured and acts them out on a student in pantomime. He calls Louis from a pew, gives him a mallet and a nail, and orders him to drive them in to his friend (he doesn't). That night, Louis has a nightmare about crucifying his friend. He wakes up, runs back to the church with a hammer and pulls the nails out of the Jesus on the church's crucifix. They find him in the morning asleep, crying and hugging the plastic Jesus.
Halloween shows a different kind of fear. Louie takes his girls trick or treating, and since the divorce he only gets to take them every other year and responds to pressure to push it a bit later into dark. The fun, kid-friendly Halloween begins to become the scarier adult version — and then two guys in costume start following Louie and his daughters and harassing them, especially trying to torment the daughters.
Louie's daughter going missing for several hours. His frantic attempts to find her is a whirlwind of confusion, terror, and guilt.
The profound father complex of the mother Louie hooked up with.
The dream sequence in "New Years Eve" is just full of existential terror of loneliness and failure.
The opening to the episode "Gym" has Louie falling asleep to a newscast, where the anchorlady starts saying inappropriate things. Louie, weirded out, pauses it... and her expression gradually transforms from a newscaster-appropriate cheery face into a terrifying glower. The scary part is that it happens so gradually that you likely won't notice it's changing until suddenly she's got a Nightmare Face.
13-year-old Louie's last confrontation with the drug dealer in "In The Woods" is all sorts of terrifying.