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The Kickstarter videos. First, there's the entire premise of the puppets being kidnapped and held hostage, which several people have criticized for crossing a line into legitimately traumatic territory. Then, in "HELP #2", there's Yellow Thing having a bag put on his head and yelling, "No, I don't want it!" It's very unsettling, especially since Yellow Thing is crying while he's talking.
There's also a split-second shot of Sketchbook's face on the floor. Just their face, not the rest of them. They could be dead... or alternatively, they could be still alive, but faceless.
Look closely at the room. They may have been nailed to the wall.
"HELP #3" has the evil puppet gathering a collection of body parts (which may or may not come from our heroes) into a bag and writing 'YOU' on the bag with what's probably the puppets' blood. All while distorted cheery music plays in the background.
Episode 3, "Love", starts with an animated Butterfly getting crushed by Robin (It landed on their Chicken), complete with realistic Butterfly Corpse and blood (Also on their Chicken). Also, Yellow Puppet is forced to marry his 'special one' against his will. Extra points goes to the strange maggot-like creature that pops out of the egg at the end of the video, which is also smashed by Robin.
Said strange maggot like creature? If you look carefully, it's a caterpillar, with the same colouring and hair as the Yellow Puppet. Consider that the last moment of the "dream sequence" was Shrignold flying with a ring towards him and, well...