In-universe example: Starlight's nightmare. She's so terrified that she's messed everything up and driven the sisters apart again that she dreams of being attacked by Nightmare Moon. And when Celestia tries to help Starlight the dream world spawns Daybreaker, a corrupted evil version of Celestia.
Daybreaker:[to Nightmare Moon] I never should've banished you to the moon! I should've destroyed you!
Another in-universe example: there's Luna's bad dream, consisting of fillies sadly taunting her smile, and her trying to apologize to them whilst her teeth are falling out. Anyone who's ever had the teeth-falling-out nightmare can relate to Luna's bad dream.
The fly-ders. Basically a frightening combo of flies and spiders. They travel in huge swarms, are capable of webbing up a full sized pony to prevent their escape, and they bite. A lot. The only thing one can do is run from them. Even Applejack, Rarity, and Rainbow Dash don't try anything to fight them off after their initial attempts prove inadequate, instead taking cover in a cave. Oh, and unlike real-life spiders who may occasionally bite large mammals to defend themselves, these nasties actually feed on ponies if they get the opportunity and run out of easier food.
Rainbow Dash: What do they want now!? Applejack: Well, like it or not, we're food too. Sweetie Belle: And I have the bites to prove it!
Worse yet, Swamp Fever works the same way the fungi cordyceps works on ants: it infects one of them, who begins exhibit strange symptoms. If prolonged, the victim will transform into a tiny cordyceps tree that will infect the rest of the colony, especially if they're too close.
Even worse, the episode shows that the only cure was unknown for a very long time, meaning that the victims were pretty much hopeless. And by the time the cure is found, it's not just hard to find but also very dangerous to obtain, as it's produced by Shock and Awe insects that No-Sell most magical attacks, and, arguably, the spells that might be able to affect them would also damage the cure. By the time the badly battered healers finally obtain the cure, it's very possible the victims would have turned into trees already.
The Pony of Shadow's goal. It doesn't want an eternal night, a world ruled by chaos or fear, every last bit of magical energy, it doesn't even want to rule over Equestria. What it wants is complete darkness. It wants to return everything to the shadows and leave no shred of light behind, with no one capable of remembering anything else.
We get a look at what the Sirens are capable of at their full, unrestrained power: one song and a village breaks out in a violent brawl. Further more, the Sirens are capable of breathing a Breath Weapon powerful enough to vaporize rock. Thank goodness Flash Magnus has a magic shield. Their singing also doesn't spare children. The episode does its best to depict the brawl in the most cartoony, slapstick possible way to lessen the blow, but it doesn't change the fact that foals get as agressive as adult ponies, and those adults don't hesitate attacking the youngsters either.
Stygian's transformation into the Pony of Shadows in a flashback. He throws open the castle doors with his head down, then raises his head to glare at the Pillars. Shadows grow from the corners of his eyes to give him Black Eyes of Evil, then the same shadows flow out of his eyes and wrap around him, transforming him in a burst of dark light.