Ensemble Darkhorse: Some of the monsters such as Count Burns, Devil Flanders, and King Kong Homer. An unusual example is Krusty in vampire getup from Treehouse of Horror IX who, despite not really playing a role in the segment, has been seen in Treehouse of Horror merchandise and media.
Then you have Kang and Kodos, the two space aliens from the very first Treehouse of Horror segment "Hungry Are The Damned". They've appeared in every special since (or not, which they will unhappily acknowledge) and have even made the odd appearances in the regular episodes.
Family-Unfriendly Aesop: Ned teaches one to Bart, Lisa, Milhouse and Nelson about the seven deadly sins in Treehouse of Horror XVIII.
Harsher in Hindsight: Treehouse of Horror XIX features Homer killing celebrities for commercial rights, among which include Neil Armstrong and Prince. This is hard to watch since both of them are now dead.
In one episode, Snowball 2 is brought back to life with occult. In a later Archie Comics miniseries, Afterlife With Archie, an attempt to bring back Hot Dog starts up the zombie apocalypse.
In the Treehouse of Horror X short, 'Life's a Glitch; Then You Die', a virus (in this case, the fabled Y2K Bug) causes chaos around all around the world upon computers, and computer-controlled devices starting from Homer's computer, leading into the apocalypse. Around 10 years later, Summer Wars would also have it's plot kick off by some guy's computer device accidentally triggering a virus, and causing havoc to devices around the world. But the big difference here is that Kenji never unleashed it (he just got one letter off, and by being the first to respond, he was framed), it was Wabisuke's doing, and it doesn't end on the apocalypse.
The Gremlin's first appearance in Treehouse of Horror IV "Nightmare at 5 1/2 Feet" with green fur, a wide Slasher Smile and Wide Eyes and Shrunken Irises. The worst part is the ending, where it reappears on the back of the ambulance carting Bart off to the insane asylum... then holds up Ned Flanders' torn-off head, complete with dangling, gore-slick spinal column, which gurgles Ned's famous greeting to Bart. Cue end of the episode.
Treehouse of Horror III to Treehouse of Horror X featured several disturbingCouch Gag sequences, including: the Simpsons family appearing as skeletonsnote Treehouse Of Horror III, also used as official promotional artwork for Treehouse Of Horror II; erupting from the ground as zombiesnote Treehouse Of Horror IV; mismatched Frankenstein-esque monsters note Treehouse Of Horror V; this one serves as a Self-Parody to another Couch Gag where normal Simpson family members have mismatched body parts, but while in that one they correct the mistakes, in this one they screw it up even more; open-eyed hanging victims (with Maggie still sucking her pacifier)note Treehouse Of Horror VI; this one comes right after a Headless Horseman Krusty throws his own head at the screen, with the resulting blood splatter spelling out the title card; The Grim Reaper sitting on the couch, and the family members dropping dead one after another (and on each other) as they rush to the couchnote Treehouse Of Horror VII; here, after this happens, the reaper leans his feet on Homer's corpse; the family getting electrocuted to death by an "electric couch"note Treehouse Of Horror VIII; the family actually never making it to the living room due to screwing up the timing of the openingnote Treehouse Of Horror IX; it could be argued that Marge and Maggie don't actually die, but even then, they would find Freddy Krueger and Jason Voorhes waiting for them.; and a Grand Finale of sorts for the couch gags with a Continuity Cavalcadenote Treehouse Of Horror X; said cavalcade consisting of Homer-in-the-box (THOH II), Alien-Maggie (THOH IX), Half-The Fly Bart and Witch-Marge (both from THOH VIII) where the Alien Maggie incinerates the Odd One Out, Lisa "as an axe victim", as soon as the latter questions what aliens have to do with Halloween.