The episode when Evil Jimmy tricks Jimmy into thinking he's good, and creates a new world that's sapping reality from earth. Jimmy proceeds to reverse the process, killing every one of the billions of evil humans. He killed a species. That's genocide.
And how is that worse than the other option? Letting HIS earth's humans all die?
"One of Us". Especially the ending. As the grandmother boards the mothership, it seems like the episode will only end on a peculiar "WTF" note. Instead, she turns around, lifts her glasses to reveal completely black eyes, and says "WE'LL BE BACK." in a terrifyingly deep voice. And to matters worse she returned in a later episode.
And that episode reveals that she can shoot lasers from her eyes, which she uses to disable Goddard. And then there's the following comment she makes after Baby Eddie insults her.
Win, Lose, or Kaboom has the race between Jimmy's team and the team of brainy aliens. When it seems like they have made it to the finish line, they return to Retroville and are greeted by their parents with a celebration of their supposed victory. When they find some things off (like the ice cream tasting like sheet rock), the "parents" urged them to "Eat and Forget" repeatedly in an increasingly unsettling manner like zombies. It was all a dream implemented by the brainy aliens to distract them; the only way they could wake up is to fall into the void outside where they find out they are in the middle of nowhere. It could be worse to think about what would happen if the "parents" have captured the kids.
When one of the Needleheads is forced to eat a banana cream pie, his head explodes. His headless, burnt stalk is left wandering around comedically for the rest of the movie, but still very unsettling. It's presumed a Needlehead's head can grow back.
The animation in this show. Growing up in the early 2000s back when most cartoons used 2d animation, the style seemed creepy and off-putting to some children. Especially the Jimmy-Timmy Power Hours, where characters who had always lived in a 2d world suddenly became computer-generated big-headed kids.
Jimmy being reduced to a gelatinous slab after running around too fast. His body will eventually re-stablize into solid matter.
A candy that electrocutes your mouth if you eat it.
The episode where the gang goes to Retroland to try to disprove a ghost myth, with different people showing up dressed as the ghost to try to scare them. At the end, the real ghost appears to Jimmy's parents.
The episode where Jimmy, Sheen and Carl have a sleepover with a machine that cranks out scary stories, pillows, and pizzas. The climax is when Carl accidentally creates a flesh-eating pizza that chases them around the house, and a pack of flesh eating pillow go after the parents. At the end after disaster seems to be averted, the pizza monster strikes back - "Haven't you ever heard of sequels?" Then it spirals into a series of nightmares from each of the characters. While most of them are funny, one ends when Carl tries to hide under the parents' bed, but gets stuck and is eaten by the pizzas. Yikes.
The Halloween special starts off with some pretty creepy music.