The Dusk Nobodies move with a strange boneless gait and tend to resemble humanoids made of cast-off gray and white clothing. Organization XIII is made of the same Nobodies, just humanoid in form.
Axel lampshades this early on, near the end of Twilight Town.
Axel: Man, oh man, even the Dusks aren't gonna crack this one.
The Dusks are extremely weak enemies, so he almost certainly isn't referring to them in their capacity as combatants.
Also potentially frightening is the fact that Organization members are constantly threatened with being turned into one of the aforementioned Dusks as a punishment.
Dusks are also surprisingly disturbing if you really look at their design. Despite moving like they have no bones, you can visibly see their rib cage and they possess super long fingers that are being restrained with straps. If they were in a game with more realistic shaders and graphics, it wouldn't be too far to say they wouldn't look out of place in a Silent Hill game.
It was easy to get Mood Whiplash when entering "The World That Never Was" at the end of the game. It gives off this bizarre feeling of family-friendly existentialism, with creepy background music and floors with names like "The Altar of Naught", "The Hall of Empty Melodies", and especially "Proof of Existence" — the Nobodies aren't supposed to exist, and they believe their death means absolute Cessation of Existence, so that graveyard-like room is the only proof they ever existed.
On a quieter note, that truck next to the Memory Skyscraper. The window's cracked and the lights are blinking on and off. It's clearly crashed recently, since you can see the skid marks on the ground in front of it... So who crashed, and why?
The game starts with Roxas essentially losing his own individuality, forced to re-join Sora in spite of his desire to be his own person.
Before that, at the beginning of the game, Roxas constantly being gaslighted by the people in the data Twilight Town. Its especially jarring how cold, distant and inhuman they act compared to the real people in Twilight Town. The data town has a fake, empty feeling to it, especially on the final day, where the data people are ghosts who Roxas can no longer interact with and the entire town is just...empty. Doesnt help that Di Z is toying with Roxas, not caring that hes essentially exploiting a toddler in a teenagers body for scientific purposes, considering Roxas is 1 year old by the time of Kingdom Hearts II.
Saïx, during his boss battle, tends to yell "All shall be lost to you!" with the voice of a complete psychopath. The guy's pretty much The Berserker, mostly due to his moon-based powers inflicting him with literal lunacy.
The final boss from the first time you go through Beast's Castle, Shadow Stalker/Dark Thorn, actually (temporarily) eats Sora during the fight.
One of Sora's transformations, Antiform, is essentially a Heartless. Oh, and to make it even better, it's completely random when Antiform will activate; you'll just be selecting another power-up, quite possibly one you desperately need to finish a long and difficult fight, and then suddenly Sora basically transforms into a Heartless with no warning, complete with a nightmare-inducing sprite in the HP bar.note This isn't entirely true; there IS a complicated formula for determining what the odds of activating Antiform are based on your previous actions, but no casual player would possibly work it out, and there's still an element of luck.
Right after Sora and Riku are left stranded in The World That Never Was, the entire world they are in begins essentially caving in on itself.
The final part of the final battle takes place literally nowhere, in a place that doesn't exist. Go with it.
They're not technically nowhere, but they're about as close as it's possible to get. They're in the Realm of Nothingness, which Ansem the Wise states in his reports to be where Xehanort banished him. Ansem had to use The Power of Hate to survive the place and escape before it caused him to fade from existence. How long would Sora and Riku have lasted there if they hadn't made it to the Dark Margin?
The battle against Twilight Thorn in the prologue. That boss is the Nobody counterpart of Darkside, and holds Roxas captive at any given possibility.
When Roxas is held captive, successfully doing the final reaction command will cause The Twilight Thorn to slam against the ground in a near instant. If you are unlucky enough for the final blow being that last reaction command, the Twilight Thorn will hit the ground and the game goes into the same slo-mo that happens when you beat a boss, but this time it shows the Twilight Thorn lands face first, making it look like its neck was broken.
One of its attacks involves it stretching in slo-mo over the field before dangling its head upside-down and then making it pulsate and bob as it spawns monsters out from its appendages. It's extremely unnatural and bizarre.
When enemies are defeated, they typically explode in a shower of something thematically related to them. Heartless explode in a puff of darkness, some releasing their hearts. Nobodies disintegrate into a cloud of nondescript energy. But the Cursed Pirates in Port Royal? They collapse into a cloud of tattered, rotten skin flakes.
Oogie-Boogie's first demise is just like in the movie — his burlap skin unravels, and zillions and zillions of bugs start crawling out all over the place. The whole "bugs-in-Oogie's-shape" part, however, is thankfully scrapped.
Not the creepiest thing in the game per say, but near the end of your first visit to the Land of Dragons the player is treated to a seen of some of Shen's remaining soldiers turning into heartless likely due to fatigue and despair. It's a pretty morbid reminder that Emblem Heartless were once actual people.
While the manga is only thinly connected to the games and is VERY cartoony, one scene in particular had a huge case of Mood Whiplash. In the game, when Shan-Yu is defeated, he just passes out. In the manga, once Sora defeated Shan-Yu, he is on the ground and is approached by Xigbar. Shan-Yu begs for more power, and what does Xigbar do? He shootshim! In the head! The manga is rated E.
Seeing Radiant Garden Tron being bound to a wall and tortured by Sark is horrifying enough on it's own, but considering what happens to the real Tron, especially after Sora defeats him in KH3D...
Seeing any character getting tortured by electrocution is horrifying. The main trio even go through it, with the torture victims being Donald and Goofy in the game, and Sora in the manga.
And near the end of the arc, when Sark is grown to a giant, he grabs Tron and tries to crush him. Just looking at Tron's face as he screams in pain over being crushed is enough for one's spine to freeze. Anyone who saw TRON: Legacy or played Kingdom Hearts 3D: Dream Drop Distance would really find this to be just too upsetting.