The Deepwoods can kill you in a million ways, each more terrifying than the last. Special mention goes to the rotsucker, which traps you in a cocoon while you're sleeping and digests you alive.
In general, everything that happens to Twig in the first book. Everything. The scenes when he is very nearly eaten might be the most upsetting. Of the few friendly faces he meets, one grows up into a bloodthirsty termagant trog, one is eaten alive, and the others - let it suffice that they are not what they seem.
He was nearly eaten alive three times in that book, at least. the Bloodoak tree came the closest, almost crushing the life out of him, complete with one Riddell's drawings. There were also the Wig Wigs, and then almost immediately afterwards, when Twig finds an apparently safe sleeping place, the Rotsucker comes, and is arguably the most disturbing of the lot. Imagine going to sleep somewhere comfy and harmless, and waking up sealed in an airless shell partly full of poisonous acids. Sweet dreams.
The death of Amberfuce, boiled alive, and to some extent the deaths of the goblin leaders. Overall the series is heavy, heavy on this.
The Gloamgloazer, more terrifying than any other monster because it's cleverer than you are.
The glister, which forces its way into your head and sucks your consciousness out of you, with accompanying illustration by Chris Riddell.
The reality-altering Twilight Woods, a forest which gradually drives you insane and will never let you die. Anyone who enters it becomes immortal as long as they remain there, which isn't so peachy if you're so crazy that you can't remember who/where you are. Also, you get to stay alive while your body decays. Sweet dreams, children.
Chris Riddell's illustrations for the Twilight woods include two knights who fell victim to this, which makes it far creepier.
It's mentioned in the introduction to each novel that for travellers who get lost in the Edgelands, the lucky ones will fall off the side of the Edge while the unlucky ones will end up in the Twilight Woods. In this universe, falling off the side of a cliff and plummeting to your death is considered preferable to ending up in the Twilight Woods.
To your death? before The Reveal it was implied that you'd fall forever until you simply starved.
If the concepts and writing are scary, Chris Riddell's illustrations add a large exponent to the fear. There is no such thing as Gory Discretion.
The Shrykes vivisect, torture and cannibalize anyone who stands in their way in the blink of an eye, be it in battle or out of leisure. All told in graphic detail. In battle, their Berserk rages contribute to some of the most horrific acts of violence in the entire series.
The Foundry Glades -It never once occurred to Spume that maybe business would be better if he would just, you know, let his slaves live for more then a few weeks. What was the casualty rate again (granted it factors in the need of expansion)? 500 deaths a week?