Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Return to Oz
Rock King From Hell
The Wheelers in their introduction; Laughing Mad, human headed things with wheels that creak very loudly, complete with high-pitched calls. And their threat:
"You'll have to come out eventually and when you do... we'll tear you into little pieces and throw you in the deadly desert!"
The head scene when Dorothy went to retrieve the Powder of Life from the 31st head of Mombi in a corridor of heads. When she finally opens the door and gets the powder, the head comes to life and says "Dorothy Gale" in a Creepy Monotone, then the other heads wake up to scream loudly as she runs away from the headless Mombi.
When The Nome King loses his temper and and becomes a huge one eyed giant intent on eating the main cast.
The Deadly Desert. It surrounds all of Oz, and if you touch even a toe in it, your body turns to sand. One of the Wheelers has this happen to him to demonstrate as Dorothy and company fly precariously over it in the Gump.
Outside of the more fantastic scares of Oz, there's the fact that Dorothy gets there after escaping a mental hospital where she was about to get electroshock therapy. Let me say that again: Dorothy, a little girl, was about to get electroshock therapy. It's made even worse if you know your history; electroshock therapy and even lobotomies were not unknown for children in early 20th Century psychological 'treatment'.
The mental hospital was creepy enough on its own. At first, it seems like a perfectly nice, reputable place. Then we see the rest of it. It's got all the staples: dirty, dimly lit hallways, creepy orderlies, an even creepier nurse, and a doctor who seems a little too enthusiastic about trying his new therapy on a preteen girl. And then there are the "damaged" patients who've been locked in the cellar...