This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Ultraman Leo
Any time children are used as pawns in alien schemes, or when an alien Woobie takes to a human child or mother figure, or even when the aliens are children themselves.
The alien in #16 turns humans into wax. According to Dan it has the power to wipe out entire planets. Made worse by the fact it was able to turn Leo partially into wax.
The death of the merman monster in episode 19. Smoke pours from its mouth and grows into a billowing cloud, covering the body. Then we see pale white bones come from the smoke and the dead body stands up as a skeleton, except for the head which is still the same before it collapses. Eeek!
According to The Wiki, it's part a story arc known as the "Ultra Horror Series".
Pressure, introduced in episode 26, a creepy, undead looking goblin-like alien magician. His face is permanently stuck in a rather creepy smile, he utters a terrifying laughter and terrorizes an innocent family for no other reason other than to fullfill his own sadistic pleasure. He looks way worse in concept art◊, being more zombie-like and rotten-looking. Thankfully, a less scary version of him is seen in Mega Monster Battle: Ultra Galaxy Legends the movie.
From Episode 40, the destruction of MAC, with Silver Bloom's attack on their space station. Let's see: A woman yelling in horror as she clings on for dear life… Check. A man gobbled up alive… Check. A plane swallowed up whole… Check. The place covered in tentacles and goo… Check. Sparks flying… Check. The march from Ultra Seven playing as Dan lectured Gen and slapped him around to keep him focused… Check. Dan vanishing as Gen yells out "TAICHOUUU!"… Check. Leo escaping as SB gobbled up the space station… Check...THE WHOLE OF MAC GETTING SLAUGHTERED?Check!
From the same episode, Commander Black summons Silver Bloom to Earth, where SB destroys a store building with Gen's True Companions inside. From the dialogue, it seems that Kaoru got killed first. Tohru was lucky.
Not to mention the small form of SB eating a man: it goes onto is head while he is screaming as yellow acid drips down his face and he collapses. It's horrifying.
SB's defeat at the end of the episode. Leo poking inside it and pulling out… a MAC plane, possibly the same one Gen's teammates tried to escape in.
Seven's injury, especially the sound effect when his leg is twisted.
What happened to the Ultra Eye right after Seven's injury. Fridge Horror sets in to imagine what would have happened to Dan if his injury had been a lot worse…
Leo vanished underwater after Alien Tsuruk defeated him in Episode 3.
Speak of the devil, early in the episode, he killed Tohru's father and a MAC member.
Alien Pressure, even though the episode he appeared in started out as Narm.
Crossing over with Paranoia Fuel, the invisible alien who framed Gen for murder.
Alien Karly stepped on a woman, killing her.
Bunyo's torture and Commander Black's slaughter of Leo.
By the way, Gen's telepathic farewell to Tohru as he slept was unexpectedly eerie as well as a Tear Jerker moment.
As if he didn't have enough crap to deal with, Tohru was the one who found Leo's remains.
Commander Black dissolved into green foamy goo after a group of Tohru's friends stomped and kicked him, separating him from his crystal ball.
Demos, the monster of the week for episode 43, is a crab-like bloodsucking monster with glowing eyes. It breaks undetected into the police department and threatens to kill Gen's loved ones.
The bloodsucking shells from Episode 47. Even Gen got one stuck on his eye, the resulting injury showing up even when he transformed.
Made worse by the fact they are able to control people and practically turn them into living robots.
Leo propping a crumbling building up as a kaiju attacks him.
How many Ultramen are attacked by several finishing Ultra Beams at once? Only Leo… Reo Niiisaaan!
A stolen alien device can send a planet on a collision course with Earth? Noooooooooooo!
Leo's flashback to his (unsuccessful) attempt to save Astra before L77 exploded.
Tohru and his little sister Kaoru witnessing the death of their father and the Red Shirt in Episode 3.
Commander Black's monsters in general, mainly because, unlike most Ultra monsters, the majority of them aren't humanoid at all and more akin to Eldritch Abominations than the general Ultra Kaiju. Made worse by most of them being able to shrink down and hide undetected...
Dan ended up in very bad shape after using his Ultra Psychokinesis, sometimes having an unearthly sheen to his face and the area around his eyes darkening, not to mention stumbling around in excrutiating pain.
Gen always trying to do good, only to be blamed for screwing up, or not doing more.