Mt. Lavalava, a volcano that you have to traverse through to save Misstar. Not helped by the fact that after you save her, the volcano decides to erupt at this moment.
Crystal Palace has an unsettling atmosphere, thanks to the isolation, subdued music, and plentiful doppelgangers.
Bowser's Castle can be quite terrifying for younger players, particularly the part with a dark cavern that spans two rooms.
Paper Mario and the Thousand Year Door
Chapter 3: In the Glitz Pit, you quickly get sucked into a mystery about the strange things that happen in the ring, and keep receiving mysterious emails from someone simply called "X". At one point, a Koopa who befriends you called King K tells you he's retiring and you see nothing more of him. Also, a character called Bandy Andy who tells you about the urban legends of the ring also stops appearing. You don't pay it much thought at first, until you're instructed to go into the storage room and find a secret staircase. When you enter the locked room at the top of the stairs and destroy the box in there, you find King K and Bandy Andy, lying unnmoving on the floor with a fly buzzing around them. King K manages to weakly acknowledge Mario, and Bandy Andy tells him not to go to the ring at night. Then, they just stop responding to you. They get better after you defeat the boss, but it's seriously creepy. You can only imagine what would have happened if you never found them...
And this has been going on for an undetermined amount of time. Imagine what must have happened to the other fighters Grubba did that too...
The entirety of Chapter 4. It takes place in a very eerie region that's divided into three different subsections: Twilight Town, Twilight Trail, and Creepy Steeple. All three are subject to a perennial state of twilight, wherein the sky mixes otherworldly hues of pink and blue that contrast with the ominous, oversized yellow moon.
Twilight Town is a gloomy hamlet inhabited by equally dismal townsfolk, complete with some very depressing music. The scenery consists of dead trees, a massive full moon with a deathly glow, and buildings that take on a uniformly listless shade of brown. It's actually a somewhat hospitable community despite the oppressively dour atmosphere (oh, and speaking of "dour", that just so happens to be the mayor's name - "Mayor Dour").
Twilight Trail is very similar to this (sans the buildings), except that it leads into a coniferous forest which becomes darker and darker as you venture further in. The music in this area takes a level in creepiness.
Creepy Steeple is at the very end of the trail, and although small as compared to other dungeons within the Paper Mario series, it's a classic example of Big Boo's Haunt. Add to that the dimly lit hallways and stained-glass windows, and you've got a very unsettling place indeed. As with Twilight Town and Trail, the background music helps in establishing the atmosphere.
So you've just beaten the boss — you weren't able to find out his name, even if you Tattled it — and gotten the suspiciously different End of Chapter sequence... and you and Goombella leave the room... except... why isn't the scene changing? Did something break, or... oh. You pressed A and... the silhouette you were fighting moved?! Yes, now you've got to get back to town, fighting spiked rock monsters, special Goombas with higher HP and the ability to charge up, and flowers that can put you to sleep along the way. And you're alone, without the benefit of any of your partners to help you deal damage or take a hit for you.
The Palace of Shadow itself.
The Shadow Queen is nothing less than pure evil. In the prologue, she destroys an entire city by sinking into the ground. She later goes on to create three dragons and use the Pit of 100 Trials as a torture chamber to those who would oppose her. If it weren't for the four heroes, she would have probably gone on to conquer the entire world. And when she's finally defeated, she curses the four heroes by locking them into chests. You later have to go through her palace, which gets more and more disturbing the longer you go through it. And then Grodus releases her unaware of just how horrible she is...
Ghost T. He died on the Excess Express & he wants you to receive his diary for him. Reading this diary will result in him popping out of it & killing you.
Riddle Tower. Especially thanks to the music and the cryptic text on the signs in each room - the middle line in all of these is unrelated to the other ones, and together these middle lines spell out a mysterious, cosmic message.
The four chests that give you the new paper abilities, the demons inside as Laughably Evil as they are, delight in cursing you but that's not the scary part. It's the fact that they were four "HEROES" who were transformed into evil demons and trapped for a thousand years, then again one could argue that they were still good and knew Mario couldn't defeat the Shadow Queen without the powers, and the evil was just an act.
Super Paper Mario
Mimi chasing you in Chapter 2. It doesn't sound scary, but when that text box pops up with "Mimimimimimi..." and she just appears out of nowhere, it's FREAKY. And about Mimi... She looks ordinary enough as a green-colored little girl with pigtails. But in battle, she brings forth her true form by CRACKING HER HEAD ALL THE WAY AROUND AS HER EYES TURN INTO PITCH BLACK VOIDS. Then her whole body is dismantled as demonic spider-legs erupt from her head. She also explodes when you pay off your debt in chapter 2, leaving her body parts momentarily scattered across the room... Yeah.
What about the fact that when you flip to 3D, you can see in her head, and there are gears?
When she appears in a new room during the chase sequence, the cutesy regular music fades... and is then replaced with a really creepy tune just as she's appearing. The brief silence is what does it... *shudder*
The entire plot of the game has you trying to stop a massive void from swallowing the entire multiverse. As the game goes on the Void gets larger in Flipside, and it actually appears in the background of levels that didn't have it before.
Chapter 6 has the Sammer Kingdom get engulfed by the void, with the heroes making it out just barely in time. When they go back, the Sammer Kingdom is just a blank void with only a few fragments left behind, no life, oh, and the Pure Heart has turned to stone.
Immediately following the already Wham-y Chapter 6, in the aftermath Dimentio appears and actually murders the playable cast. Of course, they turn out to be okay but it's plain chilling, not to mention the fact that you all get transported to what is essentially hell.
The River Twygz Bed, with all those Underhands trying to grab you, and incrediblydisturbing music.
In the Overthere, look carefully at the sky. The implication here is that even in the video game equivalent of the afterlife, it was also threatened by the Void and it could have ceased to exist.
There are two rooms in Chapter 8-3 with a bunch of mirrors, and one or two of the frames don't shine, indicating that you can flip in 3D and go through them. In the first room where this can happen, you get some items. In the second, however... SURPRISE! A LOT of Dimentio clones are just there, hovering around... they do nothing, they don't hurt you but they push you back, but it's certainly startling to just see them all there, looming.
Paper Mario: Sticker Star
Bowser defeats Mario so thoroughly at the start that he's folded and crumpled up when Kersti finds him.
The fact that you can STILL HEAR IT even after the Boos have been sealed amounts to Fridge Horror.
Also, later, after you place a Toad picture in one room, you can return to it later. It reveals a Boo's face on the Toad. And it's a lot scarier that it sounds. It looks like one of those faces you would see in a screamer video, only worse. Seeing a scary face on something so innocent is just NOT RIGHT. Even worse is that it only happens when you head to the door.
The remix of the original Ghost House theme. The saxophones and xylophones/music boxes just make it sound that much more worse, and it only plays when you first talk to the Toad steward and when you talk to him again while hunting for Boos.
The dimension outside of paper. It's a multicolored void of... something, or maybe even nothing. It's present whenever a scrap or pieces of paper are missing, and it's seen every time the world is paperized.
Speaking of enemies turning to ash, this happens any time you score the finishing blow with a fire-themed sticker.
Speaking MORE of enemies turning into ash, how about the fact that Bowser Jr. suffers the same fate as Kamek.
Finishing them off with ice, water, or scissors-themed stickers will have them disintegrate into nothingness, melt away, or torn into shreds, respectively. This becomes all the more unsettling when you realize that the characters acknowledge that they're made of paper in this particular game...
This can even happen to Mario, too, depending on the type of attack that does him in.
Even being cut to pieces isn't as disturbing as what happens to you in Chomp Ruins if you get hit by the blades: Mario gets separated to tiny pieces of paper, for a split second, and he just continues walking normally after that.
The nonstandard Game Overs can be frightening, especially if you don't expect them.
A Cheep-Chomp chases you through World 5 at one point. If it eats you, Mario is instantly killed.
The whole idea of World 3. The whole forest has been polluted by Shy Guys and the creatures within are struggling to survive. Throughout the area, you see patches of purple sludge, sick bushes, and lakes and rivers full of toxins. Not to mention the background music is a bit depressing.
Then there's Wiggler. Oh, poor Wiggler. Your whole objective for the world is reunite him with his body parts, which Kamek scattered throughout the area. To make it worse? The poor guy didn't do anything wrong! Kamek made the accusation that he was associating with Mario when he had no idea who he was. Not to mention the fact Wiggler's childlike behavior.
Paper Mario The Thousand Year Door, Super Paper Mario