Lavan is finally completed by Walpurgis merging a Topaz with him, killing the Gem in the process like giving birth to Steven did Rose. Lavan then proceeds to transform into his new and improved crystal form, and plunges Equestria into massive disasters just by existing.
Ponies and Giants Arc
Amelia's battle-rage during the attack on Bandit Pass is terrifying. After casually shrugging off a volley of crossbow bolts, she crushes a ring of houses underfoot; taking time to grab a bandit in her fist and throw him, screaming, against a building. Everyone who gets near her is crushed without a thought, or swept away by debris. When she gets to Kara, Amelia grabs the elf woman and starts crushing her in her fist while she begs for mercy. Slowly. Applejack barely manages to snap her out of it.
Amelia: "Ill paint my armor red with your blood, you worthless scum! You tinies will beg for mercy like the insects you are!
We also get a flashback revealing this isn't the first time Amelia's lost control. It's heavily implied that she ate human rebels that had risen up in her clan's territory before she came to her senses.
Deep Blue Sea Arc
Frost Talon, The Dragon of the Everfrost, is a fully grown ice dragon and Implacable Man who spends the entire arc hunting the heroes, and when he finds them makes it clear he has every intention of presenting their frozen corpses to his master.
The constantly advancing ice of the Everfrost is also unsettling, given it's slowly freezing the entire world and the heroes have no choice but to run from it until they find the Elements of Unity.
Lighting the Darkness Arc
During the fight against Viper, Sunny Days tricks a Witch into being hit by the serpent demon's beam...which turns the Witch into a pile of snakes as she screams in agony. And it's not transformation: Viper mentions that the spell turns the target into "dumb serpents"; meaning the Witch was killed. Sunny Days is appropriately horrified.
The fact this universe exists is pretty terrifying to begin with.
Factory Rainbow Dash's insanity and how easily she can justify murdering children.
While also a moment of Awesome, Prime Rainbow going completely berserk on Factory Rainbow in her Rainbow Power Form and giving her a savage beatdown can be frightening onto itself, even if no one can blame her for going ballistic on a child murderer. Rainbow can be pretty dang scary when she wants to be.
As awesome as Captain Cerberus and her Space Legionnaires' boarding action was, they slaughtered the crew of that ship, and NOT all of said crew are robots. The narration (thankfully) doesn't go into gruesome detail, but many crew are shot to pieces, mind-controlled, and burned through the Legionaries' rampage. Even the survivors get limbs hacked off.
After Cerberus and company manage to destroy the computer core controlling one of the invasion fleets, The Baron of Battle reacts by slaughtering part of the crew of the flagship and spawning a monstrous, horrific guardian creature to fight them.
When the Space Legionaries reach the bridge, all but a few of the remaining crew are massacred, in a way reminiscent of Vader's rampage in Rogue One.
Though he deserves it, Wind Rider's fate is horrific: enslavement by the Hegemony, loading starship munitions by hoof. When we see him, he's completely given up hope and knows he'll be worked to death by those who see him as worthless scum.
And given the Mechanicum's stance on AIs, the fate of ANYPONY among his crew who worked with the robotic troops—even the crew who didn't commit war crimes during their service—isn't pretty either, if they also got handed over to the Hegemony. The prisoners who ended up in Mainline Equestria's custody were very lucky.
Night Without Stars
The Death Crawlers. They're intended to be horror movie monsters and it shows: powerful monsters with heads lined with eyes and tentacles for both combat and pulling victims into their tooth filled mauls. They're also smarter than they look and actively employ strategy to hunt their victims and deploy the pillar that locked Ponyville in an eternal night they're free to hunt in. And then there's the Alpha which is the size of a small house and so powerful that it fights Godzilla Jr. to a standstill in his pony form.
A Winter Wedding
When it becomes apparent her trump card, a nuclear sub, was about to be sunk, Chrysalis orders it to nuke as many major capitals as it can before it goes. It only gets one missile off, but that one missile comes very close to destroying the capital of Ponyland if it wasn't stopped.
Chrysalis's insanity in general. This is a mare who's willing to try and kill anyone who stands between her and her goal, even if she becomes a mass murderer in the process.
The Monstrous Five
The Shadowbolts' treatment by Scumlabs is as utterly despicable as it is horrifying: five teenagers turned into corporate lab rats; forced to test dangerous and faulty products simply for losing a school contest. When the products' side effects began mutating them, the Five were sealed in tanks to be used as test subjects. One of the Scumlabs employees even refers to them as lab animals.