"Naimina Enkijio" pictured above may be the crowning example; it's quite infamous for scaring the pants off children. Not only that, but the forest and the legend are real. Some examples of the episode include: creepy wailing from a Ghost Girl constantly calling Eliza's name, Eliza seeing the Ghost Girl as her reflection in a swamp that supposedly grabs and drowns children, and the Eldritch Location atmosphere of said episode thanks to taking place in deep, dense, dark forest.
Its mitigated by the fact that she is shown helping Eliza escape the forest, calling out to her, and guiding her to Marianne, proving her to be an actual benevolent spirit.
One of the weirder moments in the episode is when Eliza and Darwin come across a large group of galagos (also called “bush babies”) in the forest. You’d think that Eliza would talk to them and they would maybe offer help as occurs in most of her interactions with animals. But no. Eliza tries to communicate with one of them but it doesn’t respond. It’s possible that the galago didn’t want to talk to her, but another possibility is that it couldn’t. The forest is clearly an Eldritch Location, so who is to say that Eliza’s ability to talk to animals simply doesn’t work on the animals of the forest?
Debbie's nightmare in "Dances with Dingoes". The method of inducing it is also fairly horrifying.
Nigel's slow almost-death from a poisonous fish. Similar deaths have happened many times.
The Reveal of what actually happened to Donnie's parents. They were straight-up murdered by poachers for rescuing an orangutan and her baby from them. You actually see the fiends advancing on the terrified couple while holding machetes...
In the episode "Blood Sisters" El Gordita, the guy posing as Dr. Spinoza was really creepy looking, especially that eye!
Kip O'Donnell's voice. The guy himself isn't that scary, but that voice! So horrifically raspy!
Normally, right at the end of the opening sequence, a map is shown indicating where the Thornberrys are, and it's always somewhere that has a name... except in "Thornberry Island", where the map zooms in on uncharted sea. As for the episode itself, the Thornberrys make landfall on an uncharted island... and accidentally trigger the comvee's "security mode", locking them out and leaving them stranded with no means of outside help in sight. They fortunately manage to make use of a lightning storm to short-circuit the security system, though.
"Operation Valentine". No evil poachers or aggressive animals...just the family, a broken down comvee, a flat tire, miles of Australian wilderness, and Eliza's appendix is about to burst.
The sequence of Eliza falling prey to altitude sickness in "Nigel Knows Best", the surreality of Eliza's hallucinations as she succumbs to oxygen deprivation is quite disturbing.
"Cheetahs Never Prosper" is an extremely dark take on what happens when humans interfere with the cycles of nature. The Thornberrys arrive in Uganda during the dry season, and Marianne warns Eliza that she can't offer help to the animals despite how thirsty and hungry they look; not only will it upset the balance of the ecosystem, but the creatures will be highly aggressive because of the heat. Eliza can't resist trying to help, though, by aiding a cheetah cub named Tano in finding his mother, who's gone off to hunt. When they track her down, the mother cheetah immediately tries to kill Eliza, telling her son that they've finally found food. And when Eliza begs Tano to remember that she helped him, the little cub tells her that he's sorry, but he's hungry. If it weren't for Nigel and Marianne intervening, Eliza would have been eaten alive by the very animals she tried to help.
Some examples of the episode include: creepy wailing from a Ghost Girl constantly calling Eliza's name, Eliza seeing the Ghost Girl as her reflection in a swamp that supposedly grabs and drowns children, and the Eldritch Location atmosphere of said episode thanks to taking place in deep, dense, dark forest.