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The entire sequence of the townsponies being replaced by changelings in the first issue. It's downright surreal seeing everypony acting inexplicably zombie-like. What makes it worse is the first ponies we see acting like this are the CMC, and at that point it hadn't been revealed that they'd been kidnapped and replaced, making it look like a couple of kids got brainwashed.
Throughout the arc, Chrysalis is occasionally illustrated in a downright grotesque fashion.
Queen Chrysalis herself is a lot more frightening in the comic book version. Her looks can especially kill. Particularly, her first appearances in Issues 1 and 2 are utter Nightmare Fuel showing off her demonic side (especially as Issue 2 has her angrily glaring with her teeth bared), although the rest of her expressions tend to be more comical. As of Issue 4, it's even implied that she's willing to consume the CMC regardless and things get a lot more scary as the story goes on. Even the covers featuring her of issue #4 is more frightening. And all of that drool and vampire teeth too!.
In issue #3, Chrysalis takes one of the left over kittens and in the next panel, all you can see is a white background splattered by black and the Cutie Mark Crusaders' screams, the implication being that she mauled it to death in front of them.
The cover of issue #3, featuring the Mane Six minus Twilight as Changelings. Also the cover of issue #4, with the Mane Six trapped in Changeling goo as a giant Chrysalis in the background bares her fangs.
Issues #5-8: The New Nightmare Moon
Given that the entire arc is about nightmares, this was inevitable.
The entire premise of the arc is rather freaky when you put yourself in the ponies' position. Imagine being plagued for a week with nightmares, unable to get a good night's sleep. Desperate to fight them off, they have a sleepover, reasoning that if they're together, they won't be scared. They still have nightmares (and very realistic ones, at that). The ponies then awake to find Rarity screaming and being dragged out of her bed by an indistinct black mass. They're unable to save her. The entire concept is something straight out of A Nightmare on Elm Street.
When they're having the sleepover, Rainbow Dash has a nightmare about watching other pegasi flying while she can't. Why can't she fly, you ask? Because her wings have apparently been shredded almost completely off, leaving a pair of thin protrusions that appear to be the front edge of her wings, with the rest of them nowhere to be found.
And remember, flying is Rainbow Dash's WHOLE LIFE. Imagine how she would feel if that really happened.
Some of the other nightmares are also pretty unsettling. Highlights include Celestia dismissing Twilight from her studies forever (similar to her dark magic-induced nightmare in the season 3 premiere), Applejack's whole family surrounding her with pure hatred in their eyes after all the trees on her farm died (a wrathful Granny Smith is really something to behold), and Fluttershy's animals running from her like she was the plague - including a few bunnies, one of which may be Angel.
NIGHTMARE RARITY. Especially after it's revealed she can control dreams and nightmares.
The whole arc has some really dark imagery. When Nightmare Rarity is trying to persuade Spike to join her, she gives him a scepter and tries to place a crown upon his head. When he snaps out of the dream, it turns out the "scepter" is actually a broken stick. The "crown" is even more unsettling: it's a really creepy-looking mess covered in dust and cobwebs with a chain hanging off its side, emblematic of what Nightmare Moon II was about to do to Spike.
Worse? It wasn't Sombra, that Sombra is a good guy. It was actually the mirror Celestia and Luna.
The reactions of the heroes (and audience) upon seeing Mirror Canterlot.... The castle town is in ruins and a dull volcanic gray. The sky is a crimson red with dead trees and several broken statuesnote specifically of Lyra and Bon-Bon, the latter's petrified head being broken off. The major contrast with the colorful and beautiful normal Canterlot is just jarring...
When Twilight notes how bleak everything looks, Rarity makes the comment that seems to be on everyone's mind: If this is what their Equestria will look like if they fail? Considering everything from Nightmare Moon, Discord, Chrysalis and Sombra, it really cements just how much is at stake.
Issue # 23
Everyone in Ponyville is being mind controlled by the villain of the story and now they are tearing apart a dam to flood their own town. Worst of all, the Mane Six are among them. Itís pretty disturbing to see the heroines who usually save the day as mindless thrall, especially since one of them is an Alicorn princess.
Especially since we never get to know exactly why it was necessary to hypnotize the ponies. Since the issue with the pirate captain, it is established that the Kelpies are friends of the ponies, so it has no meaning to hypnotize the ponies of Ponyville, even if it means to carry some water sprites back to sea and a dam lies in the way.
Issue # 24
The Bad Future that Discord & co. end up visiting by mistake.
Issue # 25
Our look into Angel's head in the short "To Tame the Beast." The gorgeous artwork really lets it look horrifying.