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Nightmare Fuel: Yin Yang Yo!
In "Deja Foo", Yang has to watch Ultimoose burn Yin and Master Yo to death until they're ashes. They don't show much, but it's still a bit unnerving.
Some of Yuck's twisted looking expressions (especially in "Yin Yang Yuck!") can get pretty creepy.
The fact that the Nightmaster was able to commit mass genocide and possibly wouldn't refrain from doing it again.
The Woo Foo Aura Drain is this, especially considering that a Woo Foo powered being losing their abilities is enough to kill them unless they find their parent: when Yin is hit with one of these by Eradicus, her eyes become entirely black and her body is frozen while her abilities are drained out of her.