Most of "Swimming with Stars", since it's the first level that isn't whimsical and cheery like everything else up to that point. If the creepy enemies didn't get you, then the oppressive darkness and haunting music will.
Also, the music of the swimming levels in general. For the most part, it's ridiculously cheerful. However, for one reason or another, the creator of the music apparently thought it would be a good idea to throw in what sounds like one of the singers drowning while singing. Try to play it for laughs, even!
Some of The Magician's comments when you bop his top hat foreshadow his villainous qualities, or at least that he's not nearly as nice as the others.
The level "My Heartburn's for You". You get eaten by a dragon, and you're inside its body. Sure, the music's humorous and catchy, but that doesn't change the fact that when you reach the stomach, you can see the dragon's realistic-looking heart through its apparently transparent stomach. You have to pop the weird growths inside the dragon, which are apparently what made it a monster in the first place. Hell, that basically means that the dragon's mutated and grown due to growths that could only be destroyed by entering its body and attacking them while avoiding its stomach acid and flames!