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Nightmare Fuel: Pinocchio
The movie in general is perhaps Disney's scariest picture, especially since none of the villains are ever punished for their crimes. Thus leaving children with the horrifying realization that not all evil can be beaten and that the world will always remain a dangerous place for them...
If it's any help, in a deleted scene, John and Gideon got arrested after running into Pinocchio a third time.
Stromboli◊ was particularly frightening, especially telling Pinocchio when he's worn-out he'll make good firewood...and then throwing an axe at a (fortunately lifeless) puppet.
Made sadder when you realize that the Blue Fairy saved Pinocchio from a horrible death.
The whole concept of Pleasure Island, an amusement park that's actually a trap for unsuspecting little boys!
Lampwick's voice changing into braying while crying "Mama!"
What makes it worse is that Lampwick is not aware of it, while Pinnochio is slowly becoming unnerved by the scene, (initially believing it to be caused by heavy drinking or smoking), but once Lampwick realizes what's going on, he utterly breaks down and begs Pinnochio to help him before eventually being reduced into a braying, wild ass. Pinnochio leaves in horror before suffering the same fate. No other adaptation has ever tried to bring this element to the transformation as it is far too disturbing.
The Coachman. The face the Coachman makes as he says those last two lines rivals the face from Inland Empire in pants-soiling scariness. Specifically the line: "They never come back... as BOYS! " Along with that Wario-esque pants wetting inducing Slasher Smile right when he says "BOYS!"
This particular Fridge Horror aspect: If you look at the coach taking the children to Pleasure Island, it appears to be pulled by donkeys. Thus, little boys are kidnapped and changed into donkeys, losing everything they ever loved in life and on top of that, some are forced to pull the coach of the man who changed them in the first place and carry other children so that they can share the same monstrous fate as themselves. (In the book, this is definitely stated.)
While that is how it was in the novel (but then, EVERYTHING talked in the novel), that wouldn't be very smart. That puts the talking donkeys in a position to warn the other little boys. It was probably something more... gruesome.
Actually, the book by Carlo Collodi explicitly states they just hang onto the talking ones until the transformation is complete and they lose human speech. Since Lampwick gets worked to death and Pinocchio is sold to make a donkey-skin drum, it's not like the book lacks its own supply of Nightmare Fuel...
The Coachman is a Karma Houdini. For all we know, he could still be turning kids into donkeys and selling them off to the circus, salt mines, etc.
Monstro, that enormous whale. Getting chased and devoured by something at LEAST 500 feet long is horrifying. Plus, he has at least two of those intense chase scenes! Especially the scene where he charges right at the viewer *shudders*.
When Pinocchio gets the tip of his finger burned at the beginning—and can't feel it. In the book, he slept too close to a fire and woke up to find his feet burned away.
The entirety of the scene where the donkeys are being sorted at Pleasure Island. The shadowy, featureless henchmen. The little children, transformed into voiceless beasts of burden, sent off to a life of being abused and worked to death in the coal mines. The ones who can still talk in the holding pen, crying and begging to be returned to their families. Pinocchio was likely the only boy who ever escaped.