Tara's situation in the climax of "The Curious Case of the Countless Clues": Steed phones her to warn her that two men are coming to kill her and that he's on his way, expect that Tara's in a wheelchair due to a busted up ankle and realises that her back door is unlocked. Desperate, she climes up her stairs to lock the door, and just in time too.
The scene in which Natasha interrogates Loki, and in an incredibly menacing speech, Loki punches his cell wall so hard it rattles, lists off all her sins, belittles her attempts at redemption, and ends by describing his plans for Clint, whom he has under Mind Control.
One of the more disturbing parts of the speech is how he starts off mocking Natasha and SHIELD, suggesting she's the "good cop." But as they talk, Loki seems to calm down a bit and actually talk to Natasha like a normal person, and almost seems to be empathizing with her when she talks about the "red in my ledger." Which makes his subsequent steady buildup into snarling, vicious rage, declaring Natasha's appeal to him to be "the basest sentimentality" and that she is "a child at prayer" sound less like a rant and more like the brutal judgment of an angry, vindictive god at her apparent willingness to betray her companions for one man.
Loki's Mind Control in general. Not only do his victims get creepy Blank White Eyes, they retain all their personality traits while under his control, creating a very unsettling effect, since most examples of mind control have the victim acting noticeably out of it. It's like an Uncanny Valley of mind control.
Bonus points for the subtle implications that being unconscious undoes the Mind Control, meaning that unless Loki was re-possessing them every morning, anyone under his control was awake the entire time. Which also explains why Clint looked more and more worn down every time we saw him: he hadn't slept for days. It would also explain why Selvig speaks in such an overexcited way while under mind control, as if he's had too much caffeine.
There's also the fact that unlike Hawkeye who's a bit dark even while good, Selvig is a 100% cheerful Nice Guy who is not only still friendly and sweet but genuinely excited about the amazing new science he's discovering... while under mind control and helping the enemy. It's like watching an innocent child doing evil unwittingly.
Hell, the creepiest thing about the change is where they don't seem to change. Physical wear and tear aside, their behavior is totally normal. Hawkeye's a capable badass who's smarter than he looks, and when he's mind controlled... he's a capable badass who's smarter than he looks, but his moral compass is completely skewed toward obeying Loki.
Joss' commentary reveals that they added the eyes in post-production, and that the original script had no obvious signs of mind control. Somehow that's even creepier.
And if you don't believe it's worse, watch the deleted scenes where the eye effect was not added. The actors just ... stare. It's very, very unsettling.
Natasha's leg is pinned under some debris... and then Bruce starts to groan and the real panic begins; the mere threat of the Hulk is the only thing that's made her show genuine fear in the film so far, and now she's trapped in an enclosed space while he's on the way. What makes it worse is that Bruce manages to give her an agonized look, powerless to stop what's coming, before he Hulks out practically right next to her. (And also, as par for the course, the transformation looks extremely painful as he tries to fight it.) She manages to free herself before she gets squashed, but what follows is a nightmare chase that ends with her huddled in a dark walkway, very nearly whimpering with pain and shock. This is Black Widow, who beat up three men while tied to a chair and faced down Loki, and she's traumatized.
Bruce becoming the Hulk in the above scene is bad enough, but the way he looks at Natasha right before the transformation is complete is absolutely horrifying because he knows what's happening and that there's a huge possibility that she's about to get hurt. And there's nothing he can do because it's too late.
The Hulk might be an in universe example for Natasha, the mere prospect that Banner might turn has her pulling her gun on him and she looks terrified. There's a good reason why she says, "Bozhe moi"note Translation: "My God." earlier when Coulson tells her she's getting the "big guy". And he doesn't mean Stark.
In the scene mentioned above, things get worse. At one point, she thinks she's lost the Hulk, so she sneaks through, but then she turns and the Hulk pops up and roars at her, resuming the chase.
Imagine the above scene from Natasha's perspective: there is a creature twice your size, impervious to your bullets, and treats walls like they were tissue paper. And you're trying to outrun it with a busted ankle.
The tie-in prequel comic, Fury's Big Week, reveals that Natasha may indeed have some sort of trauma of the Hulk:
Nick Fury:(coming across a very roughed up, and very upset, Natasha) Banner did that?
Black Widow: Yeah, a building he leveled.
Nick Fury: You need a doctor?
Black Widow: Maybe a psychiatrist.
Hawkeye needs the eye scan of a certain man to open a door that holds a meteorite shard. He gives a hand held scanner to Loki, who proceeds to crash the guy's party, hold him down over a decorative slab in front of the terrified crowd, and - possibly not understanding precisely how the thing works, probably just for kicks - ram the scanner right into the guy's eye. We can't directly see the point of impact, but on Hawkeye's end, the scan comes through and the eye is jerking around in death throes. And when the camera cuts back to Loki, the device is making a loud mechanical whirring sound— and the sound of human flesh being squished through.
Also rather appropriate imagery on Loki's side, as it looks like he's throwing his victim onto an altar to be sacrificed.
The damn thing was spinning when he put it in!
Listen to the sound effects. There. Is. Squelching!
Here is some more horror for you, it was just his eye. There is no indication that Loki killed him with that device... he was more than likely still alive after Loki was done with him!
If you have no idea who he is, the "challenge accepted" look on his face is unsettling enough. It's even worse if you do. He's Death's literalStalker with a Crush.
One of Captain America's flashbacks while he's attacking the punch-bag has him recalling a scientist exclaiming he's still alive over his still half frozen body, implying he was conscious for at least some of his defrosting.
Tony's panicked yelps when he gets caught in the propeller. It's disturbing enough that he gets caught under a propeller, but unlike the previous two movies, where his screams or cries have been mostly "uh-oh, that didnt go to well at all", here it's more like "shit, I'm going to get fucking eviscerated".
The very concept of Loki as a villain. Imagine you're fighting an enemy who you know is insane and desperate. You have him locked up, but there's still something not right - it's almost as if he wants you to keep him locked up. Slowly, subtly, he starts messing with your head. Are you still human? Can you be redeemed? He begins to tear at the seams of the only group capable to stop him, getting into your head. The worst part is that, short of manipulating him right back (which is incredibly difficult), you can't stop him from doing it. He's mentally disturbed, nigh-on impossible to kill, and you may not even realize that he's tearing you apart until it's too late.
Even worse is that he is clearly holding back. Even if you do not know his true origins from Thor, just knowing he is an Asgardian should make all his actions even more scary. Even a "weak" Asgardian is still an Asgardian! Look at how Thor is able to handle himself against The Hulk. Now add to that pure power a mind capable of coming up with whatever plan Loki is really cooking up, and then the fact that that mind seems to also be broken?! Loki is pure terror in Asgardian form.
When Tony gets back to Stark Tower and Loki, the god who already killed at least one of his friends, is there. Tony's alone, his armor is damaged too badly to use, and the others won't be there for a few minutes yet. He goes in anyway and banters coolly, but the second Loki approaches him with the scepter, just for a second, you see Tony's bravado slip badly, and you realize then just how scared he really is. It just sends shivers up your spine to imagine being in that position. Good thing he's got an arc reactor on his chest, though.
The "cage" Loki is placed in. Manages to hit both claustrophobia (nigh-unbreakable enclosed space) and acrophobia (designed to be dropped 30,000 feet) triggers. There's also a side of Fridge Horror in Bruce Banner's total lack of surprise when Loki mentions the cage was originally designed to contain the Hulk, like he's just resigned to the fact that his "curse" justifies such extreme precautions.
Remember that the Helicarrier travels on water, too... what would happen if the Hulk was in it and hulked out while it was on the water? Dropped into the ocean, dark, cold, listening to the cage creak as the water pressure built, until...
The Other threatening Loki. Loki's become quite the hardcore villain since we've last seen him, killing SHIELD agents left and right, mind-controlling people, mind-raping, and doing battle with some pretty tough opponents. And yet that, dear audience, is fear in his eyes, on his face, when the Other whispers into his ear:
"If you fail, if the Tesseract is kept from us, there will be no realm, no barren moon, no crevice where we can't find you. You think you know pain? He will make you long for something sweet as pain."
Being replaced by a Skrull. You can come back years later and everything you know has changed. Your friends and people you have dated might be dead. The Skrulls don't just steal someone's image, they steal their entire lives, sometimes ruining them in the process.
Mockingbird and Spider-Woman's experience are particularly terrifying because, not only was Mockingbird gone for three years, she was hunted by Skrulls after she saw through their tricks, with one of them impersonating Clint while he hunted her. She eventually snapped and killed him. Spider-Woman came back to discover that nobody trusted her after Veranke used her face.