Just the whole idea of being stalked and terrorized by someone who knows your every secret. And it could be anyone you know, like your best friend.
Said someone also seems to no qualms or concerns about doing it while people who can protect you are around, and regularly go out and try to get rid of them any means necessary.
Hanna being run over in episode 10.
The dolls in 'If These Dolls Could Talk', especially the creepy Alison display. "Follow me. End up like me." And the scene ends with the doll repeating "End up like me" like a broken record.
All the snippets we see of -A's lair, culminating in The Reveal in 'UnmAsked'.
Alison's general behavior; if she sees you as useful, she'll do anything to keep you by her side, including exploiting your love for her.
After Mona was revealed as the first A and institutionalized, the girls thought it was over and they could get on with their lives ... only for the A messages to start again. This was the first time it dawned on them that A isn't just one person. It also adds some serious Paranoia Fuel: Even if the new A is caught, how can they be sure that it's now truly over? They made that mistake the first time...
Although we are never given a full sight of it (apart from some blood spotted smeared on the wall) Mona's death looked to be brutal with it even stated that there was blood everywhere. Showing her body at the end of the episode, pale and wide-eyed did nothing to calm the chills.
We later learn that Mona was drugged, paralysed and conscious the entire time, hence her corpse-like appearance when she's in the trunk of the car. As she puts it: "I wanted to scream, but I couldn't. It was like living a nightmare you can't wake up from."
The Dollhouse.
"You have 30 seconds to leave that room." From A, as he stands over Sara Harvey with a knife over video-link.
Aria being Bound and Gagged in a crate in season 3's Halloween Episode, along with Garrett's lifeless body literally inches away from her face. On top of that, she was about 30 seconds away from being thrown out of the back of the train, but the other Liars conveniently arrived in time to rescue her.
In "If These Dolls Could Talk", there is plenty of this to go around. Creepy doll hospital? Check. Creepy Chucky-like voice leading the girls to an absolutely terrifying doll simulation of Alison's death, complete with a yellow shirt, blood, dirt and shovel? Check.
There's also the introduction of Seth. Seriously, everything that little boy said was way too creepy...
Also, Mona playing with her dolls in "Crazy", all accompanied with Creepy Monotone.
When Emily's slight overdose of her mother's painkillers in Turn of the Shoe causes her to slam head first into the wall of the pool during a swim meet. She remains face-down in the pool with blood pouring out of head until one of her teammates pulls her out. What makes this spookier is the fact that we are shown a P.O.V. shot of her vision turning blurry and dizzy prior to her slamming into the wall, complete with steady drum beats and the swooshing sound of the wall approaching.
How Alison was murdered. She was attacked from behind so hard that she was knocked out. Then, she felt being buried alive and couldn't do anything to save herself. Alison manages to crawl out of her grave and survives, but is still terrified of someone that is tormenting and trying to kill her.
