Kumoko's situation at the start. Unlike her classmates, she got reincarnated as a spider creature and is forced to survive in a massive dungeon filled to the brim of nasty creatures who all want to eat her.
Kumoko's plight in the labyrinth is filled with not only high-stakes battles for survival against some rather terrifying monsters, but also the nasty sordid details of being an Extreme Omnivore that constantly has to eat to survive. The anime in particular highlights this multiple times by showing her mid-meal chow, ripping pieces of flesh off of her victims in full view and with gored shots of the remains. And while she eventually does end up eating people in both the web and light novels, the web version points out that they tasted yummy from her narration.
The anime goes a step further by having her note outright that she prefers eating handsome people for the taste, without any consideration for how wrong that sounds. She's already pretty far down the morality rabbit hole to say the least.
The Nightmare of the Labyrinth, aka Kumoko from the human perspective, is also nightmare fuel enough to terrify the people that see it. The moment anyone encounters it, mass slaughter ensues, and even the strongest of humanity practically crap themselves when it shows up to the point that Julius, a Hero, got PTSD from his fight with it. The anime plays it up even further, highlighting just how creepy it is as it appraises and then tears down its foes within seconds.
Her brief time outside the labyrinth at first only further shows this when she saves a carriage from bandits, brutally tearing the group to shreds within seconds while the anime drops all pretenses of hiding her form by outright showing her as the humans see her: an incomprehensible demonic spider with scythes for arms that can kill just by looking at you. The Mood Whiplash from jumping back to her cutesy Kumoko form on-screen shows we're only seeing her as cute because of her own perspective filtering the story.
You never thought that Kumoko's Sanity Slippage could be hilarious, horrific and tearjerking at the same time. Just the hell she goes through in the labyrinth alone turns her from a Genki Girl to having some Jade-Colored Glasses, but her willingness to survive against anything aggressive towards her results in justifying murder and potential genocide out of a paranoid fear for her own life. And it just gets worse from there the stronger she gets...
Even when thrown into a situation where she should be dead to rights, Kumoko barely manages to come out on top time and time again, no matter how maimed she gets in the process. Then Ariel shows up and instantaneously gibs Kumoko into bits. The only reason she even manages to survive is thanks to gaining the Immortality skill, while demonstrating that for how absurdly powerful Kumoko got, the actual war looming on the horizon and the scope of the greater powers in the world still far outstrip a monster spider like her.
The Nightmare Vestiges prove to be terrifying to Shun and his party in the labyrinth, and for all the creepiest reasons. They KNOW about the party, their status as reincarnations, the poor combat capabilities of the party in comparison, the end of the world and they are speaking, not in a Voice of the Legion way, but in a manner resembling echos of their own thoughts. They are not a Hive Mind, but they are linked and all of them are very intelligent. This is the kind of monster story that belongs in the works of Lovecraft more than anything else.
D is a pretty terrifying in her own right. When everyone aside from Meido are downright afraid of her as D plays with everyone's lives without regard just for her own entertainment and have screwed over the lives Oka & Shiraori amongst the reincarnations and Sariel & Gyurie amongst the natives of the planet.
