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.
Nightmare Fuel: The utter silence of the ash field. Being eaten by the giant monster (and the related Womb Level). The "machine room" with the strange black creature and the endless glitchy buzz. The "Negative World" hidden in the sun. For such a cute game, it's remarkably freaky at times.
Add to this the fact that, at times, the spinning black fuzz monster can appear outside of the looks-like-a-different-room box...
Goddamned Bats: There aren't many enemies to speak of in this game, but those there are are annoying. The cave has its Wall Masters that leap out and drop you at the start, and the purple creatures in the gold fields very effectively prevent you from climbing.