Nightmare Fuel: For the 1991 film adaptation, the cave at the top of the mountain most certainly counts.
Also the Tower's angry refusal to Tillie when she asks to take the train herself. It's enough to frighten small children.
For the 2011 film adaption, the Nightmare Train definitely counts as well. His disturbing design, loud voice, and his sudden emergence from the fog all contribute.
He could also double as a Cool Train if he wasn't so scary.
Tear Jerker: Seriously, it's a wonder how Tillie manages to keep such an upbeat attitude given all the abuse she endures from Tower and the other engines; ESPECIALLY the Tower.
Her Disney Death atop the mountain after the avalanche. The accompanying music does not help. Thankfully, she pulls through.
Viewer Gender Confusion: Given her blue color scheme, overall lack of many gender identifying characteristics, and being voiced by Kath Soucie, you'd be forgiven for taking a bit to realize Tillie was a girl. True Blue Femininity may not be assumed when put next to the overtly female and red-pink Georgia, and the more rounded features are just as easily attributed to making her small design look "young."
The Woobie: The titular engine, especially Tillie in the 1991 adaptation, who is ruthlessly shunned by the Tower just for wanting to do her part. May also count as an Iron Woobie, as all the cruel comments she receives and the forces of nature themselves do nothing to stop her from realizing her true strength and saving the birthday train.