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. Several Wheelers fall into it as a group of them chase after Dorothy and company as they fly precariously over it in the Gump. We get to see what happens to one of the Wheelers, who turns into what seems to be a sand sculpture of a Wheeler, and then it gets shocking when his entire head and face start to crumble and fall apart into simple loose sand, as though nothing had ever been there in the first place.
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'. And mind you, electroshock therapy can kill and there are many cases where patients actually died from the treatment; as for those who survive the torture, many are left with burns and are severely traumatised. You will be hard-pressed to find anyone alive who came out of the experience nonchalantly...
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...
The Nome King's Death Trap of a game. He turns the Scarecrow into an ornament, hiding him in a huge room of bric-a-brac and instructs Dorothy and her friends to go in one by one. They have three guesses each to find the item the Scarecrow has become, and if they win they can leave without harm. What the Nome King doesn't tell them is that if they guess incorrectly, they themselves will be turned into ornaments. Dorothy figures out the Nome King's game, realising Ozians turn into green-coloured ornaments - and we see plenty of those during the opening pan of the room. So how many other Ozians have fallen for the Nome King's game?