Evilene is a nasty piece of work. An entertaining nasty piece of work, but a nasty one nonetheless. Her Villain Song highlights how she enslaved many Ozians to work in her sweatshop and how she'll snap at the slightest hint of bad news.
When Dorothy first arrives in Oz, and the Munchkins pop out of the walls and begin shambling towards her, hands outstretched, and repeating nothing other than "Toto" in high pitched voices. It's quite unnerving as a first impression of Oz.
The subway scene, from the growing puppets to the living pillars.
Oz itself, which is now a Crapsack World filled with colorful, often malicious characters and places no better than the real-life gangland of New York in the 1970s, with none of the bright colors and idyllic landscapes one normally expects of the place.
The TV special
The Tornado Ballet has a frightened Dorothy get flung through the air while storm clouds, lightning, and funnels appear in the background. The dramatic score further increases the scare factor, especially when an unseen lady vocalizes a scream.
The Scarecrow, described in one review as looking like he escaped from an especially creepy Neil Gaiman story.