The Delightful Children are terrifying when you know who they really are, and what happened to them. They used to be Sector Z, until they were captured by Father himself, and put them through such rigorous torture (or as he puts it, Delightfulization) to the point that's it's quite literally IMPOSSIBLE to turn them back (any attempts are just temporary). To think that such honorable members of the KND have been turned into such monsters is not only scary, but you have to think of whatkindoftreatment Father put five ten year olds through, not to mention that the torture was so intense that they work as one being.
Heinrich, Numbuh Five's nemesis, trying to dunk a live rabbit in molten chocolate. Terrifying. Even worse when he soon after tries to dunk Abigail herself into the molten chocolate. And Heinrich used to WORK WITH Abigail before! And then Heinrich fell into the chocolate and became an eldritch abomination! And finally, the fact that Heinrich is really a pretty little girl!
"It appears you just aren't ready for the adult world, Mr. Uno. I believe it was time you were... FIRED!"
Grandfather, Father was originally scary, Grandfather takes it to another level. Sure, he's got some humor, but overall, he's just scary. To elaborate, he's capable of turning anyone he touches into a citizombie...which naturally have the same ability as well. He's even capable of zombifying the world in a sense, turning it into a colorless world with tapioca factories for KND treehouses. His reign was implied to have been like one big old time Child Labor sweatshop taken Up to Eleven.
The Pirates of the Caribbean parody episode. Somehow, turning into licorice skeletons seems scarier than turning into regular ol' skeletons. And that's not mentioning what happens to them when the sun comes up...
The Delightful Children From Down The Lane, even without knowing their backstory, they're still creepy regardless especially the episode when one of them pretended to join the KND, after he revealed his true nature and rejoined the Delightful Children, he simply... slid into place *shudder* adding to the fact they talk in unison like a hive-mind, as if the writers were thinking "You know the Children of the Damned? Let's see how far we can emulate that while still keeping a G rating"