Just about everything that surrounds Jin-E. The man has his Knight of Cerebus title very well deserved, considering what he did to Kaoru and how he managed to bring out Kenshin's darkest side afloat. Aside from a Blood Knight, he is also a hypnotist. He subjected Kaoru to a nasty hypnotic trick which put her in a telepathic trance...that forced her whole body into muscular paralysis. This also includes the muscles that allow her to breathe. No wonder Kenshin TOTALLY cracked and went Battousai. The girl who was under his protection and he was starting to fall in love with would die in a truly horrible and undeserved manner unless he murdered Jin-E. Kaoru did break the trance in the very last moment, but it took her LOTS of effort. And then Jin-E killed himself.
The Psychological Horror implications of Saitou going to the Kamiya dojo behind Kenshin's back brings out the Adult Fear card with incredible strength. Think about it: he could've killed everyone there easily if he wanted to, and Kenshin wouldn't have been able to do anything.
Shishio shows he's one step to being a Cannibal after taking a single bite out of Kenshin's shoulder and spitting out the meat after savoring the blood.
Everything about Shishio is creepy. He survived second degree burns all over his entire body, destroying his sweat glands. The reason why he's covered in all those bandages is since he's a walking Body Horror. Oh, know how his sword ignites? Its due to all the people he's killed. That means, all their flammable body fat has been absorbed by the blade, and only a single spark is needed to ignite said fat. Oh...since he can use it continuously...the body count should be in the thousands if not more.
Soujiro's past. It was already bad enough that his stepsiblings abused the crap outta him for being an illegitimate child, but the scene in which he snaps and kills them all after they try to murder him and pin the blame on Shishio is genuinely terrifying, and specially in the anime due to the very effective animation and pacing.
Hannya's mask falls off after the fight with Kenshin, and it shows just what sort of lengths a normal human being has to go in order to pull off Latex Perfection—he broke his own nose and jaw and sliced off his lips and ears so that he could reconstruct them as he wished for his disguises.