This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / The Penguins of Madagascar
Pisces Dementia. It just seems funny at first, but keep in mind that if they'd eaten a single piece of fish while in that condition, they'd have been trapped as babbling fish-craving maniacs forever. And if Rico had eaten the herring, nobody would have been able to stop them. Brr. Lucky break there.
When you see Skipper sink into the ocean after his memory is erased, you see him pass out rather quickly. You start to drown when you start breathing in water, which happens after you pass out. They made us watch Skipper, one of the penguins we've grown to know and love, slowly die. Or not, but still watch that scene with that in mind.
Kowalski in "Brain Drain". The things he says are funny, but at the same time he comes across as quite scary-looking, as though he'd been lobotomized.
In fact, any time he goes insane, it's scary.
Marlene when she's out of the zoo.
Dr. Blowhole tried to freakin' drown the world by melting the glaciers in the polar regions.
Rico's violent behavior from when he switched bodies with Roger the alligator.
Skipper is even disturbed when Rico doesn't follow his orders to stand down.
For the love of God, do NOT go out of your way to sate Rico's explosion obsession. Julien learns this the hard way.
The first time the penguins meet the sewer rats. Those glowing eyes...
The episode where a boa constrictor ate almost everyone.
The worst part is that said boa is as intelligent as he is polite.
One of the first episodes had the main characters go to meet the new neighbors that just arrived, only to meet no one but a dark cage with nothing to be seen nor heard. What happens is that Marlene, the penguins, and the lemur trio all, one-by-one, get stuck and carried away by long, sticky tongues that come out of the darkness. We don't really see who's tongues those were until the end, which were only harmless and cute chameleons.
The snakehead, it sounds like some imaginary fish, but it is veryreal.
Skipper's zombie appearance in "I Was a Penguin Zombie" through a combination of topical cream, which affects his speech, causing him to speak gibberish, applied to his broken wing, talcum powder, getting tangled up in gauze, and a sprained ankle. The only word we can understand in his gibberish that has the Penguins, who mistakenly believed Skipper died, running from Skipper for the majority of the episode? "Brain."
It's played for (dark) laughs, but with the proper Fridge Horror, the Dodo Bird dying constantly due to his fatal stupidity, prompting the penguins to have to revive him every single time. If the Dodo wasn't so blissfully dim, the whole experience would have been horrifying.
Rico's Roaring Rampage of Revenge in "Marble Jarhead" after Julian, Maurice, and Mort take his doll, thinking she's a princess (long story). To elaborate, right after the lemurs leave, Rico goes apeshit and trashes the entirety of Kowalski's lab in a mad rage. And then, when he finally catches Julian in the toy store, he dismembers the male doll that he's talking to and threatens to beat him with its leg to get his doll back. Maurice's reaction sums the whole thing up perfectly:
Maurice: Now that's just disturbing.
Rico accidentally swallows Kowalski in "Private And The Winky Factory". Private and Skipper joke at first that he's eaten too much candy, then watch in unabashed horror as Kowalski battles his way up out of Rico's gut.