Spoilers Off applies to the Moments subpages. BEWARE OF UNMARKED SPOILERS
Beware of Pitch Black..
The lighting of his lair causes the image at the right as Pitch fades into shadows...
Sandman finally being overpowered by Pitch after a ferocious battle where the two are pretty evenly-matched. Just the look on his face as he's watching himself become consumed by the black sand, and no one can help him. Also doubles as a Tear Jerker towards the end.
Sure, it may have ended in a combination of a funny and awesome moment since Jack interrupted him with a snowball, but Pitch's Slasher Smile as seen in the page image when he's asking Jamie if he believes in the Boogieman is really creepy.
Later, Pitch does it again when he dissolves into shadows and rises up behind Jack about to strike him down with his scythe with that same expression still on his face.
At one point towards the end of the movie, Pitch says "There are other ways to snuff out a light." Bear in mind, the light he is referring to is a little boy who he has cornered in an alleyway with the depowered Guardians who can do little to stop him.
How about the way Jack died saving his sister? Whilst some state that drowning is a peaceful way to die, the reality of what it does to your body is very brutal and likely to be excruciatingly painful - the amount of intense and damaging pressure applied to the lungs and head in order to hold your breath to stay alive, your lungs soon filled to burst with water against your will, you're panicking for air and even worse, if you're in a frozen lake like Jack was, your body becomes so instantly numb that you can't even move or struggle. Your body just begins to slowly shut down, and there's no hope for you. Now think about how this is what the playful, pure, warm, harmless young man that is Jack endured before he became a Guardian.
Leading on from this, Jack's poor younger sister most likely had all of that childlike innocence ripped out from her the second this happened. After watching her own brother die, what would she have done? Would she have run screaming her little heart out back to find someone to help? Considering that she's likely not much older than Jamie, think about the impact this would have had on her. What kind of life would she have lived afterwards?
Most distressing is that this is a terrible accident with no reason besides "the ice was thinner that day." This sort of thing can happen to ANYONE living near a body of water.
It's not nightmare, but it heads in the same direction when you see what happens to the Guardians as they return to their mortal forms more and more. Bunnymund turns into a normal bunny, Tooth Fairy's wings moult and fail, and you can actively see her trying and failing to fly, and Santa is the worst of all, as he is no longer strong and powerful, but a tired old man. You can almost hear those bones creak.
Just before North launches into his speech about the center and wonder, the door locks behind Frost and North simply towers over Jack for a moment. Amongst all his laughing and jokes, it's surprisingly easy to forget that North can be a very terrifying man when he wants to be.
Jack Frost spying through the windows can unintentionally come as this, as evidence by the number of YouTube videos featuring such scenes with more menacing music.