Nightmare Fuel: Dying. The fact you appear to be burning in a Fire and Brimstone Hell, along with the creepy as hell music, has scared and spooked a fair number of first time players, and some veterans of the game are still slightly off-put by the image even today. One rarer version of the death screen in some versions even shows Trepliev 1's burning and tormented face morphing into just another skull among the many surrounding him.
Grimith:"Like I had a hard enough time with Super Mario World game overs, but this shit, I was not okay, not even a little." (note he was referencing when he first saw the death image as a 7-8 year old child)
Narm: The live action sequences in the 3DO version of the game, being of the typical quality of the early 90's FMV era.
That One Level: The Desert. You dehydrate fast due to the heat, and there are quicksand pits all over that look almost exactly the same as normal ground. You can get around the former by coming by at night, but that makes the quicksand even more difficult to spot. Also, quicksand is instant death if stepped on, as you'll immediately sink into like a lead weight.