A few moments are quite scary, most of them involving Anthy and Akio, most of which aren't "jump out of your seat and scream" scary but a more psychologically disturbing kind of scary, especially once you find out the true nature of their relationship.
The first real example of nightmare fuel came with the first episode of Black Rose arc, showing us how Mikage and Mamiya recruit the Black Rose Duelists. Akio's fiancee Kanae goes to Nemuro Memorial Hall for her interview. She enters an elevator and, in anguished tears, divulges her attempts to make friends with Anthy as the elevator speeds past strange plaques (actually mausoleum plots). Meanwhile, someone over a loudspeaker tells her to go "Deeper. Even deeper" as the elevator accelerates more and more as it descends. Finally, poor Kanae reaches her breaking point and Mikage appears behind her from the door, telling her she has no choice but to revolutionize the world. And then before she can react, Mamiya stabs her in the chest with a black rose. Poor Kanae!
To add some extra Fridge Horror to that, the Mamiya we see throughout most of this arc, including this scene, is an illusion acted out by none other than Anthy; in other words, Anthy is the one who stabbed Kanae! Brr.
Then there's the apparent poisoning of Kanae by Akio and Anthy. Remember that she's someone we don't see at the end. Definitely didn't get a happy ending of any kind.
Not to mention you can hear the 100 dead boys kicking around inside their coffins.
Some of the later shadow girl plays sneak into this territory. There's even a borderline Gory Discretion Shot when one of the shadow girls breaks the other one in half. A disturbingly realistic squishy, snapping sound is included, of course, and somehow, B-ko's deadpan "ow" afterwards makes it even worse.
Episode 9: Touga and Saionji find a young Utena hiding in a coffin next to her dead parents (who are in separate coffins). The trauma of losing her parents has caused her to give up on life, as she thinks it's pointless to live on if all humans eventually die anyway. She's no older than six or seven in this flashback, and yet she's basically suicidal.
Later in the same episode, Anthy appears similarly curled up in a coffin. Made more chilling in that the whole point of her doing so was to remind Saionji of his childhood trauma and ultimately bring about his downfall.
Nanami got a kitten for her brother as a birthday present, but being such a Yandere for him she drowned it because it was taking up all Touga's attention. She was seven years old at the time!
The relationship between Nanami and Touga has a lot of this, thanks to her sheer obsession with him and the way he emotionally manipulates her. It all reaches a head in episode 32, in which Touga suddenly tries to rape Nanami in Akio's car (which she fights off in horror) and gets angry because if sex isn't what she wanted, then what does she want? Actually, the sheer level of bullshit he pulls on her in that episode is nightmarish in itself.
The scene in episode 3 when Nanami tries to embarrass Anthy by making her dress dissolve. Also, there's also the Uncanny Valley view of the crowd at the party from Anthy's point of view. It doesn't seem so horrific at first, but when you rewatch it with the knowledge of why Anthy doesn't like crowds, it's decidedly painful.
There's also Kozue who is shown to be rather obsessed with her twin Miki and to grab her brother's attention she exercises loose sexual morals. She's extremely possessive of Miki to the point where she physically hurts anyone who tries to hurt or "steal" him.
In one episode, Miki's piano teacher is hinted to have a less than savoury interest in him, and he's inappropriately touchy-feely with him when they talk. Kozue has clearly noticed, as it later turns out that she'd previously shoved the teacher down the stairs for it.
Anthy being cursed to be stabbed by the million swords for eternity and Utena taking the attack of the million swords in her place.
In episode 37 Anthy casually mentions Cantarella, a deadly poison. In response, Utena comments that she "put a lot of poison" in Anthy's tea.
In the same episode there's also Anthy trying to commit suicide by jumping off a building. Thankfully, Utena saves her.
Nanami rightly has a Heroic BSOD after finding this out and says that Anthy scares her. Anthy's response is to say perfectly pleasantly: "I do? Thanks so much!" And she's still holding a massive saw that she'd been using to cut up a block of ice...
In episode 38 when Akio tries to make Utena his princess, Anthy's eyes suddenly roll into the back of her head as she collapses and disappears. Akio also says that while he and Utena go on to live together as prince and princess Anthy will stay living as the Rose Bride. Forever.
In episode 38 Anthy appears to give Utena a Cooldown Hug from behind but actually stabs her in the back with a black sword that she didn't have before.
In episode 39 after stabbing Utena Anthy leans down to coldly whisper into her ear "You remind me so much of Dios when I loved him. But you can never be my prince. Because you're a girl" while we hear the creepy sound of children laughing in the background.
And the sex scene between Akio and Utena in episode 33, seeing as how she's fourteen years old and he's way older than her, plus the dubious consent and...topic of discussion. You won't be thinking of sandwiches the same way again for a good while afterwards. All the more nightmarish when you see her gasping in pain.
The very worst part of that scene is, a new viewer (especially a younger one) who's watching it for the first time and hasn't been spoiled beforehand won't necessarily realise straight away that it's a sex scene! Meep.
Honestly, though, while Akio looks like a very attractive guy, just about all of his sexual relationships (be they overt or implied) have something seriously wrong with them. Incest, ephebophilia, grooming, manipulation, dubcon, flat-out rape, emotional abuse... he does all of that and more.
Kozue and Anthy's car scene in episode 26 is kind of creepy, since out of nowhere Kozue appears to start seducing a blank-faced Anthy in the car - in the middle of Miki's duel.
The way Souji Mikage and Mamiya Chida recruit the Black Rose Duelists, preying on people who are at the lowest points of their lives and using their insecurities to make them join the Black Rose cause.
Akio and Anthy (who was actually posing as poor Mamiya) inflicting a Mind Rape on Mikage himself in the end of the Black Rose arc.
Rather, really they'd been mind raping him the whole time, since Mikage had been talking to Anthy-as-Mamiya the whole time. Just in the last episode, they start taunting him about it before disposing of him.
Speaking of that arc, there's the way the Black Rose duellists draw swords from the student council members, complete with intensely creepy sexual subtext. The most notable ones are Shiori drawing Juri's sword (very slowly, at that, and the noises of pain Juri makes almost sounds like somethingelse), Wakaba drawing Saionji's sword (she suddenly dashes forward and pulls it out with her own hands!), and Keiko drawing Touga's sword (which is sexualised to hell and back, what with his violent twitching and her lovesick "Touga-sama~" during the process).
To say nothing about Mitsuru drawing Nanami's sword: "And with this, I become an adult".Holy balls!
Wakaba's elevator scene, if you think about it. Most elevator scenes in the Black Rose arc feature a picture of a butterfly on the wall that turns into a chrysalis, then a caterpillar, then a leaf (presumably with eggs on it) as the duellist-to-be comes closer and closer to their breaking point; therefore, it says a lot about how damn hard Wakaba snaps when that picture is already a caterpillar when we see her in there!
Anthy's "rabbit dance" with her hands in the seventh episode.
For me, the creepiest moment has to be in Nanami's first Akio Arc Duel Episode, Her Tragedy, when Anthy is spoon-feeding Akio shaved ice. Most specifically, in the original Japanese when she says -
Anthy: Oniisama, the inside of your mouth is all blue.
Note that during his scene there is no dramatic camera angles or focusing in on Anthy when this happens (such as when she is giving one of her little signature smiles). For all it looks like, the situation looks completely normal, with no ominous visual clues that remind you that it is all a facade. The niceness isn't even overdone to the point where you know it's fake because of how cheesy and forced it comes off as. Unlike the scene where Anthy smiles at Akio after having sex, if someone with no previous SKU experience watched this scene, they would be unable to tell that Anthy's submissive behavior is empty.
No, the real creepiness in this part of SKU comes from the fact that it is one of Anthy's best moments of acting -and for an incredibly sinister purpose; to torment Nanami into dueling by twisting and misleading her in regards to her views on siblings, princes and princesses, and sex. How fucking destroyed inside you have to be to do that?
Anytime Saionji gets pissed really.
That time he tried to attack Utena but Touga showed up to protect her and took the attack instead.
Worse when you realize WHY Touga did it: to turn everyone against Saionji and get him kicked out of Ohtori. And he's doing this to his best friend. Saionji is a Jerk Ass, but what the HELL Touga.
Episode 30 when Anthy gets Scary Shiny Glasses and the lights on the candle go out. And then when she holds it while watching Utena and Akio make out in the car and suddenly disappears...
If one takes this interpretation, "Dios" or actually, Akio pretending to be Dios insulting Utena in the lowest way possible right after he and Anthy have betrayed her, she's just been stabbed by her best friend, and Anthy is facing horrific torture right before her eyes. "Dios" proceeds to tell Utena how she did well for a girl and how she wouldn't be able to do anything with the power of miracles, unless he controlled it. Worse yet, he gives her a kiss "in gratitude" while wearing this sadistic little smile.
Similarly if you take the same interpretation, that "Dios" talking to Utena as a child was also Akio, manipulating and traumatizing this little girl just so he could shape her into a prince, fully intending to disempower her later, all to regain the power to revolutionize the world.
And finally, there's a theory that Akio killed Utena's parents. Can't get more monstrous than that. They died in a car crash. And whose symbolism is most prominently cars?
In the final episode, Akio uses Utena's soul sword to repeatedly strike at the Rose Gate in an attempt to force it open. With each hit, Utena cries out in pain, and it doesn't seem to be from her earlier stab wound. Think of the implications there.
According to the screenplay writer, Kanae's mother poisoned her own husband, under instruction from Akio. It certainly casts a darker light on the fact that she claims to not care about her husband. Yet again, you have to feel bad for Kanae, because she has no knowledge about that orthe sexual relationship between Akio and her mother (his future mother-in-law!).
Ruka sexually assaulting Juri in the fencing hall. Moreover, the fact that he holds her against the wall in that forced kiss for several seconds and only stops when Juri bites his lip. And even after that, he drops Juri's locket to the floor (which makes one wonder when and how he got it off her) and threatens to crush it under his foot as if he thinks Shiori is lower than dirt.
A flashback shows that Akio slipped a drug into his sister Anthy's drink and then took advantage of her sexually. This is icky enough, but it then goes on to show that afterwards he realized that she was awake and began to panic, and wound up stabbing her and then falling out a window to his death. Yikes.
The revelation of Anthy's scar during the nude sketching scene is made all the creepier when you can hear what sounds awfully like a dentist drill. Not to mention that said scar is shown as a huge hole in her chest. Or that the collection of Akio's paintings turns into a composite image of Anthy being raped.
Saionji makes some downright terrifying Axe Crazy faces during his duel with Utena. He also acts like he's trying to kill her.
Touga was raped by his adoptive father as a child.
The entire butterfly scene, for that matter. Shiori growing butterfly wings may be beautifully animated, but even besides the obvious fact that all this is combined with a scene of child rape, it's creepy how she rants about how much she hates Juri at the same time, all inthe same sugary-sweet voiceshe always has. What's more, the butterflies themselves symbolise all sorts of squicky things: 1. Parasitism; they're cabbage white butterflies, and fittingly enough, the scene takes place in a cabbage patch. 2. Cruel innocence, a phrase associated with Shiori in the series; note how the butterflies perch on the child Touga in his worst moment.
Kozue holding a razor to Miki's throat while they're both in the bathtub together and calling him a traitor when he refuses to divulge details of his personal affairs to her.
Movie!Anthy is just as miserable and emotionally broken as her series counterpart. It's implied she's about to commit suicide before Utena finds her in the Rose Garden at night. And whereas in the series, it's a Crowning Moment of Heartwarming when she stops her, here, Anthy's subtle jabs at Utena make her fly into a rage, throwing her down to the floor and screaming at her.
And just after that scene, Anthy is swinging an axe and looks very close to decapitating Utena.
This generally comes far behind the rest, but some viewers find the infamous "car wash" scene rather scary.
The first Utena light novel has a rather creepy sex scene between Touga and Miki(!). The consent is dubious, it's obviously manipulative, and then there's Touga's evil little smile at the end of the scene.
Also from the novel: Kozue's breakdown at the piano, where she keeps slamming on the keys and screaming for Utena to get out of her and Miki's special place.