Everything is tolerable but his little Fred Astaire dance with the golf club in the episode where he's been driving around ALL DAY with Maddie's body in the trunk: there's something just creepingly, inexplicably nightmarish about the sheer randomness of it.
And Maddy's exceptionally violent (well, for network tv at the time anyway) death.
Ronette Pulaski's first appearance, walking down the bridge in a daze, ropes dangling from her wrists.
Something about Cooper and Harry looking at Laura Palmer's dead body while the electricity flickered in and out made an otherwise normal (at least, normal for murder dramas) scene absolutely horrifying.
Ronette's arms slowly raising up as she sleeps alone in her hospital bed.
Really want to scare yourself? Try playing the Mike and Bob section of Cooper's dream sequence in the German dub.