When Tuck envisions the Planet of the Bikers, there's a sudden art shift in the character design, giving it a more-than-creepy look. The fact that the evil bikers' designs are based on the work of Rob Zombie doesn't help much, either.
Although Tammy doesn't look horrifying initially, her monstrous mouth and tongue (a Shout-Out to Alien) can catch people off guard in "Ball in Chain". Also, there is the concept of being a slave in marriage; trying to get out of it involves the groom being eaten by the bride. It is said to be the tradition on the Space Bikers' planet.
Gigawatt is certainly creepy... mostly because he's one of the few villains that could effortlessly curbstomp Jenny time and time again.
Vexus's obsession with Jenny and her various disguises and Evil Plans.
The way the Exo-Skin slithers up to Jenny like a snake in the middle of the night and its appearance in the moonlight still gives many fans the shivers.
Or when the Exo-Skin finds a new host? First, we see Jenny trying out the new skin. It hatches itself on Jenny's body, and slowly crawls over her face, almost suffocating her. She tries to tell Nora Wakeman that there's something wrong, but she ignores her. And at the end, we have the cranky, old boss at the snack bar. After everyone has left, we see him begging them to come back and proclaiming that he has seen the error in his ways. But right after he says that to them, the same threads that had hatched on Jenny now hatch on him, and we hear her MUNCHING on him off-screen while laughing menacingly.
This bit from "The Wonderful World of Wizzly"
Jenny: Go on, little robots! Be free!
Robot Raccoon: But where are we supposed to go?
(Jenny twists her head 180 degrees revealing big, blank eyes)
Jenny:(monotone) I said...be free.
"Armagedroid". The first fight against him and seeing him tear Jenny apart. Plus the fact that, although not explicitly stated, it appears that he came damgerously close to killing her. There's also the fact that he was built by Wakeman, essentially making him Jenny's brother.
In a similar sense, "Enclosure of Doom". Just the fact that Jenny managed to talk Armagedroid into killing himself.
How it's done it also unnerving: first you have him tearing into himself and ripping out as much of his insides as possible, and then you have him activating his self-destruct.