"To Heck and Back", where Heffer choked on a chicken bone and Rocko had to enter his body to find his heart and restart it. Of course, Heffer's insides were as creepy as could be, and his heart was a realistic heart.
The aforementioned "Elevator to Hell" where said elevator rises, only to bump against the ceiling and plunge into the earth.
The "Saw Mill" where Rocko and Heffer nearly get chopped by spinning saw blades. The log they ride on even gets divided in half.
The "Nose Bleed", a roller coaster that's so high it takes its riders into orbit. Rocko's scream of terror and Wild Take before the train drops makes it even scarier. On top of those the coaster is unfinished with the track being built right at the bottom of the first hill!
Everything involving Filburt's flashback where he gives his Freudian Excuse of not liking Halloween because of horror stories about eating candy resulting in being chased by the Hopping Hessian told to him by his crazy aunt Gretchen. The fact that Aunt Gretchen is inside some kind of aquarium tank due to growing up in it and refusing to come out of it just adds to the creepiness.
The scene at the end of Rocko, Heffer, the Hopping Hessian, and Gordon looking at pictures of their encounter may at first be some good old Nightmare Retardant for the eeriness of the episode, but one line changes it all: "Who took those pictures?!"
The episode "Who's For Dinner" had Heffer's house, which was a family of wolves who were carnivores. Carnivores who are eating what is obviously completely sentient food. Rocko opens up a mirror in the bathroom, which reveals three pigs being Bound and Gagged, and Rocko responds by merely closing the mirror to leave them to their fate.
There's also the room full of girls who look like Red Riding Hood.
Rocko slammed the mirror shut on obvious impulse and looked horrified at what he saw, which doesn't seem to fall in line with someone "leav[ing] them to their fate." He could, y'know, open it back up again.
Mr. Bighead's vision of Heffer, Mrs. Bighead, and Rocko as devils in "Cabin Fever". "Are you okay, Mr. Bighead?" *shudder*
The crazy bus driver from "I See London, I See France".
The episode "Power Trip" where Rocko lets the power go through his head when Mr. Smitty goes on vacation. After hiring Filburt as a temporary assistant, Rocko pushes a literal Berserk Button in his boss' office that he was specifically told not to. Later on, the pressure becomes more intense for Filburt when he was trying to attend to the angry customers' needs and Rocko's as well. Eventually, Rocko was revealed to have similar features (i.e. portly physique, grouchy demeanor, etc.) to his boss, only with derangedeyes, much to Filburt's horror. If it weren't for Really Really Big Man calling Rocko out, the both of them would have horrible futures.
He doesn't even look like a wallaby at that point, more like a deranged, grey kangaroo!
"Uniform Behavior", which pays tribute to The Shining. There's the twins-in-the-hallway scene which you can see coming a mile away, and then there's the scene where Heffer says he'd give his soul for a soda, and when the bill for said soda comes, it says "Payment: 1 soul".
The scene in "No Pain, No Gain" when an ox gets his arms ripped off by arm crunchers with blood spraying from the stumps.
The smoking bluejay coughing up his heart in "Flu-In-U-Enza." Also a good Getting Crap Past the Radar moment as not only does it show someone dying, but it also shows a cartoon character smoking, something that has fallen out of favor in a lot of Western children's cartoons.