The Wraith: creepy-looking space vampires that suck the life out of you with their hands.
The black-shadow-cloud being from Hide and Seek absorbs energy and electrocutes you if you touch it.
The Iratus bugs: Sheppard has a very good reason for hating them, considering they attach to your neck, paralyze you, and slowly drain the life out of you. Dialed up a notch when the team realizes the only way to make it let go is to actually stop Sheppard's heart to fool the bug into thinking he's dead.
The entire concept of Childhood's End: children committing ritual suicide over a mistaken belief that the Wraith will return if any of them grow up.
Compounded by the fact that the belief was likely instilled by the Ancient that built the EM field device protecting the children in order to prevent their population from growing too large and moving outside the field.
The Hoffan drug: it kills almost exactly half the time, meaning that anyone injected has a 50% chance of dying.
Even when Michael "improves" the drug, it still kills 30% of the time. And he puts it in the local water supplies of several entire planets.
What makes this even more horrifying is that the Hoffans have no problem with this at all, seeing this as an acceptable mortality rate and immediately putting it into widespread distribution. They are just that desperate!
Teyla's ability to connect to the Wraith's telepathic network is pretty nightmarish at times, especially because if she's not careful, one of them can take control of her body.
Later, when she's pregnant, a Warith queen she's attempting to control nearly kills the fetus.
In Home, the "mist" that covers the planet is actually a race of sentient beings. This leads to several instances of Nightmare Fuel:
First, every time the Stargate activates, thousands of the mist beings die because the Stargate absorbs them for energy.
Second, the group is put into a false reality world by the mist beings in order to prevent them from using the Stargate to dial Earth, but the mist beings have no clue (and later, don't care) that the team, as human beings, need sustenance. The mist beings were just going to let them slowly waste away.
The Nanite virus in Hot Zone that kills you in a matter of hours by infecting your visual cortex, causing terrifying hallucinations, then giving you a fatal aneurysm. Made worse when we later discover this was the forerunner of the Ancients research into human-form Replicators.
The AI Wraith virus in The Intruder kills anyone who attempts to expose its existence.
This leads to one scientist getting electrocuted and another getting 1) getting his hand terribly frozen with coolant before 2) getting sucked out the airlock into space.
The concept of runners is pretty terrifying. They implant a tracker in your back (where you can't remove it yourself), then set you "free," hunting you down like large game. Some of the runners, like Ronon, manage to avoid getting caught for years, but everywhere you go, the Wraith follow. You can never make friends or settle down or stop running because the Wraith will inevitably show up to destroy everything.
The implications of Duet: if Cadman's mind had faded away to nothing would her body just have been reintegrated as a corpse?
Trinity: are they sure that solar system was uninhabited?
Conversion: involuntary, gradual loss of control over your own mind and body is horrifying enough. Now add in that you're losing control because you're slowly being turned into a monstrous giant bug creature.
So, as of Critical Mass, how long had Caldwell been a Goa'uld?
Griffin's death in Grace Under Pressure was pretty horrifying, more so for Rodney than anyone else. Not only was he suddenly alone in a sinking jumper with little remaining power (nightmare fuel by itself), but I can't imagine that the nauseating sound of the front section being flooded with Griffin inside (and the no doubt sickening mental image that resulted) will ever quite leave him alone.
The first Queen's last words, in "Rising:''
You don't know what you have done. We are merely the caretakers for those that sleep. When I die, the others will awake. All of them.
Episodes dealing with Michael's experiments. And one episode dealing with replicators, in which Dr. Weir is infected with nanites that put her into a coma and then a perfect virtual reality simulation of an almost normal life, interspersed with various unsettling moments.
"Doppelgänger". An episode where an evil alien entity invades people's dreams and turns them into nightmares of their worst fears, to the point of actually killing Kate Heightmyer by having her fall off a balcony and be impaled on one of the city's spires.