Despite the magical elements, the book displays genuine mundanger situations about the dangers reckless children can get into such as being taken advantage of by criminals, being targeted by assassins or crazies like the Green Fisherman, dying of sickness, getting in trouble with the law, and of course, the rather clear allegory of child trafficking that the Coachman represents...
Pinocchio accidentally getting his feet burned while he's sleeping. Just the mere idea that you're lowering your guard and taking a nap and then waking up to discover that you've lost something as important as your feet is quite an uncomfortable image to say the least.
The Fox and the Cat attacking Pinocchio in the woods by donning the "assassins" disguise. They're masked by covering themselves with charcoal sacks, and while it may initially appear silly for sounding like they're pretending to be bedsheet ghosts, it becomes unnerving when it's described that they move around on tiptoes and jumping ending up looking like a pair of phantoms, not to mention the fact that they try to stab, suffocate with smoke and finally hang Pinocchio to kill him and take his money. He turns out fine since he's made of wood, but it doesn't make this part of the story any less creepy to imagine. It also doesn't help that originally Pinocchio would've been Killed Off for Real here if it wasn't for the readers demanding Collodi to continue his story.
Pinocchio briefly gets the upper hand by biting off the paw of the disguised Cat. The death of the Cricket was at least accidental, but the fact that Pinocchio is willing to do that if you tackle him too much isn't the most reassuring thing to imagine.
The Blue Fairy's entrance. Pinocchio bangs at her door begging for help, only to see a window open and this pale little girl with crossed arms and closed eyes gliding out of the dark and stating that there's no one in the house because everyone inside is dead. When Pinocchio asks why she can't open the door, she claims to be dead as well and she's just waiting for the bier to carry her away. Needless to say, that's the LAST thing you want to see and hear while you're trying to escape from a pair of killers.
Pinocchio is unsettled by the Dolphin's description of how vast and terrifying the Terrible Dogfish is, and even while walking away from the shore Pinocchio is hit by some Paranoia Fuel that makes him imagine that the sea monster is right behind him in the horizon, big as a five-storied building and with a railway train in its deep mouth, forcing him to run in a panic.
If you think the Coachman was scary in the Disney movie, in the original book he bites one of his boy-turned-donkeys' ears off while pretending to kiss him.
The 1996 movie
If you thought the transformation into donkeys was bad in the Disney cartoon, this live-action adaptation makes it arguably even creepier due to the fact we're seeing real actors transitioning into animals, as the Practical Effects that show the mutation of a child's head into that of a donkey provide some disturbing Unintentional Uncanny Valley. The lighting and editing of the scene also help the sequence feel nightmarish.
The Sea Monster. Our first glimpse of it is a big black shape lurking right under Pinocchio's boat as we hear a familiar leitmotif playing. When Pinocchio looks over the edge, we get a bird's-eye view of how massive it is. Then there's the occasional glimpse at its face, which looks twisted and cruel and the human-like teeth (due to the Monster being a transformed Lorenzini) add a layer of Unintentional Uncanny Valley.
