The Underhands. They are disembodied hands that slowly pursue the player when they are in grabbing range. They are found either in deep water or in dark areas; in the latter, they are usually hidden away in out-of-the-way places, ready to sneak up on you. Although the game says they are invincible, they can be defeated by using Barry. In addition, lighting up a dark area will (temporarily) make them go away.
The River Twygz. Pretty tame if you stay near the surface; go any deeper and be prepared to encounter Underhands and creepy music.
The Final Boss, Super Dimentio, a monster that Dimentio created by merging with Mr. L and the Chaos Heart, a giant monster who has a fairly disturbing face that resembles Luigi's, and is initially unable to be harmed just like Count Bleck. And when he's defeated, he ends up being decapitated and still surviving for a brief period of time before his head explodes.
How about the concept of it in general? Luigi is the physical vessel for the death of the multiverse. As in every fictional world you've come to know even if completely unrelated, all wiped out. Including the non-fictional one, by the way. Yeah, remember how Merlon points out we exist, thus including our world in the equation? You'd never expect this from a series that people outside the fandom generally consider for kids.
Mimi's transformation sequence into a giant spider. Feeling arachnophobic yet?
It's less about the extra legs and more about the fact that she twists her head entirely around, The Exorcist style. Complete with the sounds of her spine cracking.
If you flip while Mimi is in spider form, you can see the gears inside her. No one's sure if this makes it better or worse.
The first time you go into the Sammer Kingdom, it's increasingly obvious that the huge void in the sky is growing and there's not enough time to save the place after recovering the Pure Heart. What's even worse is that the inhabitants are completely aware of their imminent demise and even allow Mario and company to bypass the Duel of 100 in a desperate attempt to get the Pure Heart into their hands in time. The party doesn't even come close to getting the Pure Heart before they're forced to evacuate.
Then you go back after it's destroyed. GOOD GOD! All that's left is an endless white void with occasional debris. Nothing Is Scarier at its finest. And the music... the music.
One of Dimentio's attacks is to seal his target within a strange cube and then to fill it with an explosion. Which must be terrible for the victims, who have to spend their next few seconds in dread of a possible fatality.
Dimentio himself. This silly harlequin proves to be one of the most deranged things from a Mario game.