The freakin' fungusmonster. To quote Lester, "I'll never look at athlete's foot the same way again."
The goblin from Season 3. That thing looks and acts exactly like you'd expect a psychopathic little gremlin to, and it can become invisible at will.
The Season 3 episode "For the Birds". The Phorusrhacids are terrifying under any circumstances, but watching the team trapped inside an old shack in the woods, as the shrieking predators smash their way in...
I always found the final episode of season 3 disturbing. One moment you see a troop of early hominids playing and splashing around by a river and seemingly having a good time, the next minute Danny turns a corner and sees their dead and dying bodies littering the ground after Helen poisoned their water supply. Also, the end where the anomaly closes and Danny is stuck three million years in the past triggers some major Fridge Horror. He probably either died shortly after that, or even worse he may have eventually gone insane and downgraded to the feral state of the early hominids occupying the same time and place, perhaps even joining a troop and living as one of them.
Never mind, I spoke too soon. I've seen the fourth season by now and he comes back.
The end of the series finale was pretty chilling. Everyone's all happy because they thought they'd stopped the New Dawn for good. But as the team is preparing for another mission, Matt sees an exact clone of himself step from the shadows, scarred and bruised, and he whispers "You have to go back!". The next instant, he is gone. It would seem this was just in Matt's imagination, but we can't be sure.
The Titanoboa from the Canadian spin-off Primeval: New World. Its deep, rumbling hiss is bad enough. But then you notice its eerily slow movement, dark scales, and the permanent expression of hunger in its unblinking eyes. Yikes! The moment where it ever so slowly opens its mouth is also quite creepy (although it sort of subtly goes from ordinary Nightmare Fuel to Nightmare Retardant when you see that its jaws are toothless, but it quickly goes back to being scary). It doesn't help that this animal, like most snakes, hunts by detecting vibrations. One especially heavy footstep and you're screwed, buddy. Plus, there's the moment when the team realizes that the aquatic creature they've been tracking isn't an eel, but a snake, meaning it can go onto land!
On the topic of the spin-off, there was also the Albertosaurus that killed the protagonist's wife. It was practically Satanic-looking!