The OP, "Grain". An effective piece of industrial ambiance, sprinkled with a bit of Ominous Latin Chanting, that sets the tone for the entire story.
I loved this series, but you know what really took the cake for the scariest to me? The scene where Tenma finds the houses where Johan stays and sees the photographs and looks at them and sees Johan with his foster parents...but then when he peels his face off, he realizes that EVERY SINGLE ONE HAD BEEN pasted onto the original picture and when he tries to look for the originals, he realizes they had been ripped off....like the kid's head was ripped off. There's absolutely no head there at all.... than the thought that Johan just murdered all of those parent's sons with no remorse.
Another scene that scared the crap out of me was the one where the one officer guy learns his loving bosses are trying to murder him. He decides to do nothing and then they die and then he is blamed for it.....*shudder.*
Most of Grimmer's past is heart-wrenchingly terrifying, but what takes the cake is that the brainwashing treatment that he had experienced as a child left him unable to feel any emotion, even at his own son's death.
Roberto and the way he tracks his targets down. Along with tons of Fan Disservice, he's one of the scariest people in the series.
Nina's backstory, which quite literally drives her to the point of suicide: As a young child, she was abducted, confined in the dark until she lost all track of time, and presented to about forty people who would all shortly thereafter be murdered in front of her eyes because the man who has selected her for his eugenics experiment had had a change of heart.
Wim, a young boy working at a small town motel, has an alcoholic father who takes all of his earnings. He is also constantly bullied by other kids. And then, after getting beat up in the rain, and having his bicycle stolen, a kind elderly man gives him a gun.
Everything about Kinderheim 511.
Johann presenting Tenma with an ultimatum: either Tenma kills him, or Johann kills a little boy.
The fact that Johann is not only a Self-Made Orphan, but a repeat offender at that. After one notable instance, he is spotted by his sister who, unable to quite come to terms with her brother being the reason their foster parents kept dying follows his request to shoot him in the head. They were ten at the time.
The extremely creepy guy ordered by Johann to make sure that Nina doesn't leave the Heidelberg Castle.
Martin's backstory - the one night that he decided he was sick of carrying his drunken mother home, she froze to death. The creepy guy who knew Martin's entire backstory and happily explained it only makes it worse. Though that was because Johan told him everything. The shadows on his face and his wide eyes complete with that unnerving smile made it all the more freakier.
Johann teaching children to play a game that involves falling off of buildings. One of the rules of the game is that, if at first you don't succeed, you try again.
This little snippet from Episode 29: Dr. Gillen is interviewing the murderer Peter Jurgens. He shows Peter a picture of Johann and Peter says that he does not know him, and then he asks him for a pen. He takes the pen and begins shading around the face of the man in the picture. He tells Dr. Gillen that on the second day of the murder, he had gone to the park; he was telling himself that he wanted to stop, and then he saw the man surrounded by children there. Peter then repeats the words "You should come too" over and over again while some ominous little tune plays and the camera does a close up on his expressionless face. He then takes the pen and plunges it into his right ear. Blood squirts out and he falls over dead.
The "children's books". In particular, there's one where God looked into the mirror to admire the hat somebody had given him and saw the Devil staring back. The face, and then the name of the child...
"Do you know what the god does? I know, I figured it out. Do you know? Do you know what the god did after that?"
Nailclippers.A man is tortured by having his nails clipped and broken shorter and shorter, and a few pulled off entirely.
The whole Ruhenheim arc, when friendly people from a small town start killing each other, with the help of a happy elderly couple.
Johan's completely blank expression before he has the prostitute killed in chapter 65. Johan's typical, default expression isn't much better. Half-lidded eyes, faint smile and Dissonant Serenity ahoy.
There's also Johan's expression just after removing his wig and revealing that it was, in fact, him masquerading as his sister.
Anytime Johan has an expression on his face other than Dissonant Serenity is sure to make the viewer/reader void their bowels.
"...Well Richard?" "How about a drink?" If you didn't believe Johan was one of the most evil people ever before, that scene should have sealed it for you.
Right before he asks him if he'd like a drink, Johan realizes that he's got him right where he wants him and makes on of the most terrifying Slasher Smiles ever put onscreen.
The tape recording in The Scariest Thing. They listen to it further, and then all of a sudden the audio stops. Seconds later, Johan's present voice comes in. Someone somewhere screamed in horror at that scene.
The Cruelest Thing. Breaking a child by giving him a nihilistic speech about why he's alone.
Inspecter Runge goes into a room that Johan had been renting. He had just found definitive proof that Johan Liebert did exist outside of Tenma's head. He goes into the room and...his fingers don't type AT ALL! Creepier than it sounds, as just a few minutes before he mentioned that everyone who can be considered human leaves a trace behind wherever they go but he notes that there was no trace at all in Johan's room.
Runge: I've never before seen a room so devoid of human presence. I am Johan Liebert. Who am I? I was here, but I don't exist. Am I a demon?
Mr. Hartmann. The way he seems friendly at first, but turns around to Dieter with this angry stare followed by an off-screen beating of the poor kid as soon as Tenma leaves is horrifying. His descriptions of Johan doesn't make things better.
Johan screaming in terror and passing out in episode 33. The fact that such a monster who until this was calm and emotionless, completely lose it after reading a book, is very distressing.
During the Lunge vs Roberto fight it was rather nightmarish to see Lunge get the upper hand on Roberto by grabbing his bleeding wound through his shirt and squeezing it.
Even worse than that is in the anime, you can distinctly see that Runge/Lunge isn't just squeezing the wound - he's deliberately sticking his thumb inside the bullet-hole to aggravate it.
Another frightening thing about that scene is how Lunge ends up losing control when Roberto simply repeats things Johan told him. Johan's Mind Rape powers are so extreme he can Hannibal Lecture an emotionless Inspector Javert into a breakdown without even needing to do it himself!
The last episode seems pretty cheery and optimistic. That is until the end, when we see Johan springing back to life in his bed, reaching out to Tenma and looking as terrified as the people he tormented throughout the series.. Thankfully, it turns out to be a dream...Wait. Where did he go?
It's a small thing, but in Episode 32, in which Tenma purchases a sniper rifle and follows Johan into a park to assassinate him, the first time Tenma sneaks up on him and lines up a shot, Johan turns slowly and LOOKS RIGHT AT HIM.AAAGH.