This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Sonic Underground
In episode 3, there's a quick shot of Trevor the mouse being interrogated. He has invasive wires◊ going into him.
Some of the background Mobians fall deep into the Uncanny Valley.
In "The Price of Freedom," Robotnik invents watches that watch people.
The Do-Bot brainwashing people to spill their real feelings about Robotnik. Even creepier is that she isn't aware of what she's doing.
In one episode, a Chaos Emerald-fueled Dingo was poised to destroy Mobius. This is scary enough, since it's Dingo turned into a gargantuan, near-formless mass of meat that bellows like thunder about how it wants "Chaos!" But then, for the icy on the cake: Robotnik was willing to let it happen, saying that he didn't care what happened to the world so long as the hedgehogs went with it.
This show in general invokes a lot of Adult Fear. Outside of Queen Aleena having to abandon her children, there are a lot of episodes revolving around Robotnik's empire tearing families apart, leaving children without their parents or leaving parents without their children.
The episode where Robotnik sets his sights on the secluded foster home for resistance children, chillingly claiming that once he's done with it, it's going to be changed from "Sanctuary" into "Cemetery." That episode also has the demise of Hip, the robotic baby hedgehog: Hip was a surveillance robot built by Robotnik to trick the SU into finding Sanctuary. Manic had grown fond of Hip, thinking it was a real baby. When a fight led to Hip falling from high in mid-air, Manic tried desperately to save the robot, only to fail as it smashed into the ground, revealing the truth. Until the reveal though, Manic watched helplessly as a baby he cherished died right in front of him. Even worse, there was an indication that Hip had become sentient, as it dreamed of playing drums with Manic. Think about that; between Manic and Hip, who was the more terrified in those final moments?
One episode has Robotnik shoot Mobians with darts that unfold into transport pods to carry them away and brainwash them.