Basically the whole book, from the description of David's mother's terminal illness, to the Crooked Man, to... well, basically the whole book.
The huntress who, in an attempt to create a more entertaining breed of prey, has resorted to decapitating children and attatching their heads to animals. When she runs into David, she decides to give him the body of a fox... and then threatens to skin him alive and wear him on cold winter days.
Incidentally, the first of these hybrids that David encounters is a deer with the face of a little girl, who survives long enough to beg for help before getting an arrow through the neck. And what does David get for dinner that night? VENISON.
A particularly gruesome chapter of the book is dedicated to the Crooked Man's lair and the many tortures he keeps there; the nest of poisonous telepathic spiders, the woman who tells people the exact date of their death, the lovers that are set aside to corrupt children, and so on. Also along these relics is the preserved corpse of a man that was force-fed a cauldron of molten gold until it bubbled behind his back teeth.
Being forced to drink molten gold has been reported as being favored as a symbolic execution in any number of societies throughout history, especially when it comes to Spaniards conquering Aztecs and vice/versa. As such, this may be Nightmare Fuel Real Life...if any of those accounts are true, at least.
The Loups; wolves that are slowly metamorphosing into humans. Why are they frightening? Well because they are the offspring of the Big Bad Wolf and Little Red Riding Hood... who went out of her way to track down other women to be used as the unwilling members of the rogue wolf's personal harem.
The death of the Crooked Man: by the end of the story, he's already decaying somewhat, but when loses his chance to eat George's heart, he tears himself open in a fit of rage, spilling the swarm of bugs that passed for his internal organs all over the floor.
Then the Loup leader follows this up by slowly shattering to pieces, starting with his jaw.