The Joker in general, is arguably the most frightening villain in the trilogy. A sadistic, Ax-Crazy and unnecessarily evil nihilistic maniac whose actions are just For the Evulz. Word of God says that he is the most cruel, realistic and dark version of the Joker in film story.
Two simple phrases: "Why so serious?" and "Let's put a smile on that face!"
The video of the Joker and Brian Douglas, one of Batman's Heroic Wannabes. God only knows what happened to him when the camera turned off...
The Joker: So you think Batman's made Gotham a better place? Hm? Look at me. LOOK AT ME![turns camera to his face] You see, this is how crazy Batman's made Gotham! You want order in Gotham? Batman must take off his mask and turn himself in. [beat] Oh, and every day he doesn't, people will die. Starting tonight. [beat] I'm a man of my word. [Evil Laugh, and the camera goes out of focus as Brian screams]
"LOOK AT ME!" These three words, arguably, are the scariest part of the movie. It's something of a Jump Scare, given that all of Heath Ledger's lines are in a nasally Chicago accent, but he says the line with such terrifying force that it's impossible not to jump or cringe.
When we see the Joker's pun of a fire truck that is on fire (Get it? A fire truck?) to divert the convoy to where they are vulnerable to begin the car chase sequence, freeze the image when the camera looks to the right and shows the perspective of the officers as they pass the fire truck: lying on the ground, you can see what looks like burning fabric. If you look even closer, it's obviously the bodies of the firefighters who were killed off-screen.
Or right before that, the Jump Scare where an officer walks up to a semi truck honking its horn and says "Hey, you wait like everybody else, pal!" Cue the Joker popping up from the passenger seat and blasting the officer with a shotgun, with almost no warning for you.
Another happens during his fight with Batman where Joker runs towards him when Batman is looking through the sonar vision, accompanied by a loud screeching sound.
Followed by his idea of "tryouts", which involves breaking a pool cue and placing it on the ground in front of three potential recruits. What happens could be that A) the guy who grabs it and kills the other two gets to work for the Joker, or B) in a twist on a game of Spin the Bottle, the guy the cue lands on is the one who doesn't get a bullet in his head.
One of the most unsettling leitmotifs in film history is The Joker's: it's a subtle build-up of a single violin, but one that's horribly out-of-tune, as other violins join in as it gets louder, like a buzzing insect that won't leave your ears...
The burnt half of Harvey Dent's face, especially when we first see it. Also counts as Squick. You can actually see his jaw bones, and that left eye looks rather creepy.
Alfred: A long time ago, I was in Burma, my friends and I were working for the local government. They were trying to buy the loyalty of tribal leaders by bribing them with precious stones. But their caravans were being raided in a forest north of Rangoon by a bandit. So we went looking for the stones. But in six months, we never found anyone who traded with him. One day I saw a child playing with a ruby the size of a tangerine. The bandit had been throwing them away. Bruce: Then why steal them? Alfred: Because he thought it was good sport. Because some men aren't looking for anything logical, like money. They can't be bought, bullied, reasoned or negotiated with. Some men just want to watch the world burn.
And following this story, Alfred and company caught the bandit by burning him out of the forest.
When Batman is interrogating the Joker and learns that he's also kidnapped Rachel along with Harvey Dent. Batman goes nuts, and begins really whaling on the Joker while screaming to tell him what Joker's done with them, up to cracking Joker's head against a reinforced glass window so hard the window actually cracks. But the only thing this brutal beating does to Joker—the only thing—is make him laugh harder. It's easily the single creepiest Joker moment in the movie.
Joker: You have nothing to threaten me with! Nothing to do...with all your strength!
As pointed out by Cracked, when the Joker burns his share of the cash, you're too busy watching Heath Ledger's incredible "let's see how hungry a loyal dog really is" performance to notice or remember, "hey wait, wasn't Lau on top of that pile at the beginning of this scene?"