Just to the east of Oasis Town is... well, in-game it's described as a "swamp", but the area looks more like something inspired by some nightmare one of the developers had as a kid. It's practically a small-scale Eldritch Location, with its amorphous black-purple blob creatures and pod-covered trees/columns/somethings topped off with what appear to be giant (five times Shantae's size giant) bugs of some sort. Considering the entire rest of the game up to that point had been fairly standard field/forest/desert environments, this one especially sticks out. The same lighthearted background music continues to play throughout the area, but that arguably just makes things worse.
We visit another "swamp" in Pirate's Curse, and not only is it still home to Dead Big Creepy-Crawlies and animated piles of carnivorous sludge, but it also houses a pocket of purgatory, not to mention a gate to Hell!
The Cackle Mound's miniboss is a collection of floating, screaming heads that appear when you fall through a trap door after defeating an enemy.
The first game has a day/night cycle. At night, enemies are a lot more dangerous and have dark palette swaps to reflect this, and the music changes to a frantic tune.
At the end of the first game, Risky threatens to slice Shantae to ribbons and dance on her runny innards.
At the end of Risky's Revenge, Risky uses the Magical Lamp to steal Shantae's genie half and make it fight Shantae. Even when the genie half is destroyed by fight's end, Risky escapes unharmed and leaves Shantae as a nearly powerless human.
Hexer in Pirate's Curse looks like a sketch for Hypno Baron who was rejected for looking too menacing. He's a ghoulish skeletal wraith with no limbs and a cyclops bug head, and speaks with a low hissing rasp of his "Master" being "displeased".
Pirate Master IN GENERAL is terrifying. The Dreaded? Check. Waged war on the Genies? Check. Permanently killed a number of them? Check. It's debatable whether Shantae's nature as a half-genie would allow her to put him down for good.