There's some major Adult Fear when you realize that all these ghosts and evil creatures are going after a fourteen-year-old boy.
Also, think about how Danny got his powers. He is LITERALLY half-dead. That in itself is nightmare fuel.
Taken up a notch by that fact that it was his parents' invention that gave him his powers.
It gets worse; according to Butch Hartman, Danny was the lucky one. Had it been Sam or Tucker in the portal when the accident happened, it would've killed them.
The artwork for the Title Cards of the episodes is highly disturbing mainly because they mostly show Danny with a shocked expression in the clutches of the next murderous villain he encounters in the episode.
The "Masters of All Time" title card is possibly the most frightening with its portrayal of a boil-covered and feral Jack Fenton bursting from a clock to kill Danny.
It's not the scene that's freaky (though it has its Squick moments), but the part with Dark Danny before he kills his human half gives off a face past the disturbance scale. Oh, if looks could kill...
This is probably the most terrified we have ever seen Danny in the entire series.
And just before that, Danny's evil half claws Vlad's ghost form right out of him and then fuses with it. Dark Danny did some pretty disturbing stuff to his enemies.
Dark Danny's creation. Vlad did not expect for Danny Phantom to react, especially not to rip the ghost half (though given what he said about ripping out emotions, one could be said that all the emotional turmoil was left in Phantom). Then DP overshadows Plasmius and ends up absorbing him. Danny's utter scream of anguish pretty much makes it less of FaceHeel Turn and more of a FaceMonster Turn.
The entirety of Danny's Rogues Gallery in the future, and all the awful stuff that was done to them. Johnny 13, the motorcycle junky, is inexplicably in a wheelchair, and Ember mentions her singing career going downhill when Dan essentially damaged her vocal chords with his ghostly wail. Not to mention Damon, Valerie's father, who somehow lost an eye and one of his freaking arms.
Just the fact that the writers went out of their way to make Dark Danny the evilest villain in the entire series. How evil is he? The whole reason he came into being was because of his family and loved ones dying accidentally thanks to a mistake on his past self's part. But when he goes back in time and sees them all alive and well again for the first time in over a decade, he immediately starts plotting to kill them all on purpose this time around just to preserve his own existence. What the heck, Butch?!
Its extremely brief, but when told to name a second evil thing Danny has done, Clockwork shows the future, then concluding with a question that emphasizes his point. Just the sheer number he says makes one question just what horrible things Dark Danny has done:
Vlad planned to create a clone of Danny and then kill off the original. To make things worse, after Vlad's beloved stable clone was destroyed he had a huge Freak Out! moment and was alarmingly close to murdering him and likely would have if not for a timely intervention by Danny's friends. Nightmare Fuel doesn't even begin to describe it.
Vlad trying to force Danny to "go-ghost" through the machine. Danny's in obvious pain and keeps stopping mid-transformation and yet Vlad still tries to force it until the machine explodes.
And then there's Identity Crisis, the episode where Technus is accidentally released from the "Level 0" glitch. Danny attempts Form Duplication to fight him, resulting in nothing short of unadulterated Body Horror (least of which being mouths for eyes and eyeballs on ends of tongues).
The "Level 0" glitch itself is a bad case of Fridge Horror at the very least. Being trapped in complete darkness for a prolonged period of time, with no stimulation of the senses and no one but yourself to keep you company? That's a Fate Worse than Death if I've ever heard one.
Vlad's motivation for becoming a villain (murder the protagonist's father so he can marry Maddie, his longtime crush, and gain custody of her children) is very, very, disturbing.
The scene where Dani melts back into ectoplasm is both a Tear Jerker and extreme nightmare fuel. Made even worse because it happens just after Danny does his last ditch effort to save her.
The scene at the end of "My Brother's Keeper" where Jazz uses the Fenton Peeler on Spectra. She literally removes layers of her youth until Spectra is an old lady. The fact that she gets older as her skin is being peeled off is seriously disturbing.
The Ghost Writer. While he was played more for laughs (and was the villain of a holiday special, to boot), the fact remains that he can take control of all existence with a typewriter, and the only thing that can slow him down even a little is when he runs into a situation where he can't rhyme. And once his typewriter is destroyed, it doesn't stop the surreal situation, it just means he can't control it anymore; Danny had to learn the lesson the Ghost Writer was trying to teach him before he could break out of his story.
When Freakshow turns himself into a ghost with the Reality Gauntlet, he really goes all out on making himself look like a nightmare creature.
To be fair, his first appearance in "Control Freaks" had a scene where he has a Brainwashed and Crazy Danny with red eyes chase Sam onto a tightrope with a scythe, dressed up like the Grim Reaper. Danny's smile when he tries to kill Sam really doesn't help . . .
The scene in which Poindexter first possessed Danny's body to be extremely disturbing, with the eerie green lighting, and Danny's contorting, spasmodic movements as Poindexter literally rips his spirit from his body.
The scene in "Doctor's Disorders" in which Bertrand transforms is a major example of Body Horror: his skin glows green and begins to bubble as if it were boiling, while at the same time his head rotates gruesomely before his body expands and his scalp tears off, exposing his brain.
Prince Aragon's dragon transformation can be kinda disturbing.
The most disturbing image in the series has to be Danny screaming and writhing in pain from the Blood Blossoms in "Infinite Realms." For a ghost, just being near the flowers is like being under the Cruciatus Curse. And then Vlad shoves him into the circle so that he's surrounded by the stuff, making the pain ten times worse.
How come noone has mentioned when Sam rips the head of one of the teddybears at the Gem-of-Form-transformed Gothapalooza!? I mean, all of those teddybears are turned out to be transformed goths, meaning Sam rips the head of another person!!! That means that when the Gothapalooza is turned back, there's a goth lying somewhere with his or her headripped off!!!
It's not given in the cartoon itself but Word of God is Ember died because she was too exhausted to wake up when her house caught on fire. Talk about Paranoia Fuel.
Butch Hartman's recent video about the Ghost Zone gets into some details that weren't shown in the show. One of which is a place called the Unworld, which is a kind of Limbo/Hell that both humans and ghosts can get stuck in and have no powers. Granted, a sort of heaven exists too in the form of the Elsewhereness, but the thought of The Unworld is still scary.
Ladies and gentlemen, Pariah Dark, the King of All Ghosts: he's said to be so powerful that the only way he was stopped was when a group of ancient powerful ghosts banded together, and even then they just knocked him out long enough to put him in a sarcophagus that kept him from waking up. It's also implied that when Danny was fighting him, the Ghost King was merely toying with him. Then there's Ember's line.
Ember: He's only been free for a day and he's already destroyed our homes!
Danny: And that without the ring.
The Ghost King obviously never took Danny seriously. Let that sink in. Even Future Danny took his past self serious when push came to shove, but even when faced with being imprisoned again, The Ghost King still saw Danny as a non-threat, knowing Danny was weakened by their fight.