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Nightmare Fuel: The River
The moment in the pilot where everyone boards the Magus. Never mind the moss-covered rusty ship, with its serious Creepy Basement vibe, but the protagonists hear something inside the panic room, knocking on the door. They notice that the door has been welded shut from the outside, and while they all assume the knocking is from lost explorer Emmet Cole, there's no voice to go along with it...
The dolls from the second episode.
A.J.'s experience under the tree. Made all the more frightening by the fact that there's really nothing supernatural about it.