In "Revenge of the Slitheen", it is implied (never stated outright but obvious to anyone who knows how the Slitheen operate - and one of the teachers is shown being killed for the purpose) that the child Slitheen killed and skinned at least two children around the same age as the protagonists.
"Whatever Happened to Sarah Jane?" presents the terrifying scenario of waking up one morning and finding your beloved mentor now never existed, and your friends either don't exist or don't remember you. And when Maria is wiped from existence, Alan has to deal with the Adult Fear of his daughter disappearing.
No, that's not all. Don't forget, this is a super-powerful computer. He could hack every bank account on Earth in minutes, if not less. He could hack every bit of personal information, every security camera, every, I don't know, missile launch pad...
The removal of the Slitheen's flatulence and requirement to use obese people for disguises suddenly makes them a lot more threatening.
Being Lighter and Softer, The Sarah Jane Adventures doesn't have a lot in the way of nightmare fuel, but the Odd Bob episode is about evil alien clowns that make children disappear. Anyone who afraid of clowns, don't watch this.
It's not so much the clown itself, but the fact that there's a clown museum, containing, amongst other things, an animatronic clown which laughs creepily while rocking back and forward, and... the dancing puppet which terrified Sarah Jane as a child, which may or may not have been possessed.
Not to mention that wherever you disappear away to, eventually you fade even from there. Recent victims can be saved: everyone else just vanishes.
The Nightmare Man. Looks like a cross between the Nicholson and LedgerJokers, with the voice and mannerisms of Davros, has this creepy giggle, and grows more powerful off people's nightmares. Not to mention the fact that he's literal nightmare fuel.
Watching our beloved Sarah Jane succumb to, essentially, dementia thanks to the baddie is equal parts Nightmare Fuel and Tear Jerker.
And then there's "The Curse of Clyde Langer", which just might be the most horrifying Sarah Jane episode of all. The idea that everyone you love could suddenly turn on you one day without any apparent cause is enough Nightmare Fuel to pilot a rocket ship.
The totem pole in the same episode, especially its last appearance.