These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Throughout the film, Sidney the Elephant denies that Seymour is his son, despite the obviousresemblance. But when Heidi goes on a rampage and Seymour is in the middle of the gunfire, Sidney charges right in and saves his son at the cost of his knees.
Moral Event Horizon: While Bletch and Trevor were killed during Heidi's rampage, she crosses a few lines during the final act when she brutally kills some of the more innocent and nice characters.
Nightmare Fuel: Just seeing how revolting some of the puppets are in this film. Especially Trevor the Rat, Harry when he thinks he has 'The Big One', Cedric the Boar, The Giant Spider, and Mr. Big.
The Borax scene where Mr. Bletch receives the cocaine delivery and lets Dennis have the first line. As he snorts it up, the crack, which is actually borax, melts off his nose and kills him. Mr. Bletch proceeds to stuff borax down the drug dealer's throat, which literally "liquifies" him.
Don't forget about Heidi's massacre in the end.
Squick: Prostitution, BDSM, drugs, shit-eating, vomiting, all culminating in a massive bloodshed. And all done with puppets.
The Woobie: Harry Hare, first tormented by the Fly in the Sky when he thinks he's caught "The Big One", desperately struggles to climb out of his carrot-rocket so he can give one last show before he dies, and he looks absolutely pitiful when he is praying to God that he gets better. And when it turns out when he didn't have "The Big One", he gets killed by Heidi.