Ami has a good reason to be afraid of the youma that attempts to steal her energy in her introductory episode: In the English dub it simply tells her, "You just failed this class!" while in the original it says, "I'll just have to cut out your brain!"
The episode "Sailor Venus' Past! Minako's Tragic Love" has Usagi learn that Minako had her heart broken when her friend and her crush fell in love with each other. Not scary, right? WRONG! Usagi is so angry that when the friend (who has become the Monster of the Week) attacks them, she has absolutely no intention to heal her, and is perfectly willing to just kill her. Keep in mind, this isn't an artificial being made of shadow, or a robot, or some other non-living thing - it's an actual, genuine human brainwashed and then turned into a monster. In other words, Usagi is willing to kill a human being just because the human in question (unintentionally) upset her friend to Break the Cutie extremes. In fact, it's only because Minako pleads with her that she relents, and even then she's reluctant to do so. Just seeing the sweet and forgiving Usagi, of all people, willing to commit cold-blooded murder, even if it's just one time in the anime... *shudder*. Thank God she never did anything like that again
The two-part season finale, in which the Senshi all die horribly and surprisingly graphically, Beryl fuses with Metallia, and Usagi dies. Sure they all get better except for Beryl, but still.... The episode was notorious for reportedly making many children sick, and DiC had to cut out all the deaths in order to keep it kid friendly.
Beryl's possession in general is creepy, but two moments stand out. The first is when Metallia breaks free of its pan to merge with Beryl, and blood comes pouring out of the container. The second, blink-and-you'll-miss-it image comes during the process, when we suddenly cut to Beryl's screaming face. This raises the question of what exactly Metallia is doing to her.
From the R:
Anything involving the nightmarish Big Bad of the season, Wiseman/Death Phantom.
The vision characters keep having of the Silence. It's specially bad in the case of Rei, since she has been having said visions from the start of the season while the other girls have not... and said visions involve, among other things, the girls being Taken for Graniteand shattered.
Mimete's death in the previous episode also qualifies: During her One-Winged Angel moment, Telulu interrupts Mimete, revealing that the machine that Mimete is using has one weakness (a power failure while it is used will leave the user in And I Must Scream situation) - while holding the plug. Mimete, for exactly the first time ever shows real fear, literally begging Telulu not to do it (even promising to resign and give Telulu her place in the English dub). Telulu does it anyway, leading to Mimete falling into an endless void forever while screaming. This is so horrific, even the Outers are horrified (to put it into perspective, the Outers were prepared to kill a 10 - year old in order to protect the Earth)!
Viluy's death deserves special mention - no matter which version you're watching, it's nothing short of terrifying. Not only because of what happens, but because she screams for her nanobots to stop because they're dissolving her. Her English voice actress does a very good job.
"STOP! NANOBOTS! YOU'RE DISSOLVING MEEEEEE!"
In many ways, the look on Usagi's face when she emerges from Pharaoh 90 - what did she see on the other side that could make her look that broken?
The Dead Moon Circus itself is pretty terrifying in both the anime and the manga when you get right down to it.
From episode 166, Zirconia bursting out of old Nehellenia's chest like a giant worm and strangling Sailor Moon.
Nehellenia's flashback. It alternates between a horrified young Nehellenia staring back at her mirror with a sickened look on her face and the camera zooming in to the know blackened mirror as Zirconia's monotonous chant just keeps going on and on...
Mister Magic Pierrot from episode 149. One of the few Monsters of the Week in the Anime to actually kill Usagi by shattering her Dream Mirror.
Earlier in that episode, the Amazon Trio are in front of Zirconia, when Fish Eye (who knows that Chibi-Usa has Pegasus in her Dream Mirror) asks Zirconia if she'll keep her word. Zirconia, without changing her expression, reaches out her hand◊, and◊ starts◊ stran◊ gling◊ him◊. It takes Tiger's Eye's pleading to get her to stop.
Aluminum Siren's death in episode 187. This was pretty much the writers telling everyone that the gloves were coming off for the last episodes.
Some Fridge Horror for that. Galaxia boasts that she killed off pretty much everyone on Earth. Despite the fact that most of them weren't seen in that season, but that would include Usagi's parents and little brother, Rei's grandfather, Yuichiro, Naru, Umino, the Furuhata siblings, Kyusuke and Momoko, the Ayakashi Sisters, Dr. Souichi Tomoe, pretty much everyone the Senshi have ever loved or cared about, dead. And what's worse is that the Senshi were so focused into fighting Galaxia that didn't even stop to think about them.
It's implied with their small dialogue before the final transformation.
Usagi herself, after Galaxia kills the other Senshi. Her resulting attack, powered by the Silver Crystal, has the effect of a very large bomb going off. We've seen Usagi determined before, but here, she is pretty much at the point of anger, which is almost anathema to her whole personality. She has all of this power at her fingertips, and now she's lashing out in heartbreak and anger.
The fact that the Snow Queen and Queen Badiyane from the Super S movie below are two of the most horrifying villians in the franchise. How: while other villians merely want to destroy the earth and/or Sailor Moon, these villians both believe in a perfect, orderly world. They are the only two villians that could be classified as KnightTemplars.
The Adult Fear present in Badiyane's plan. Imagine being a parent and losing your child. Now imagine that your child was kidnapped to be used in something that would kill him/her, and you have her plot in a nutshell.
This movie manages to make good use of Soundtrack Dissonance with the song "Sajin no Yousei" playing whenever Badiyane's minions kidnap children.
The scene when the Senshi confront Populein while he's playing his flute and the children are walking towards the gondola. He stops, and the children all collapse without warning.