When the Paragoombas attack Mario and Co. in the first episode, this is the first we hear of the Sad Battle Music that plays from time to time in the cartoon. When you learn that Goombas used to serve the Mushroom Kingdom, then turned to Bowser for no given reason (according to game logic, at least), it makes sense why the music for the Paragoombas sounds so depressing.
Yoshi calling Luigi "Mama" takes on a layer of brilliance when you remember who Luigi replaced in the Super Mario Bros. 2 version of Doki Doki Panic.
"King Scoopa Koopa": At the end of the episode, the princess decides to deal with Koopa's Chickadactyls by setting them free in the wild. Considering the fact that their eggs turn any being which eats them into Chickadactyls themselves and are highly addictive, who knows what problems this could cause for Dinoland's ecosystem.
In "The Night Before Cave Christmas", Oogtar opens Bully's present, a Bob-omb. Before it explodes, Koopa frantically tells it not to go off until Christmas morning. What was Koopa really planning to do to Bully with that present?
A second layer of horror kicks in when you realize this: Koopa's presents were originally Mario's presents to the cave kids. Why would Mario give Bob-ombs to children?
Hip's volcano in "A Little Learning". The Mario Bros. turn the pipes around but how much of Dome City or Dinosaur Land could the lava that already spewed out have destroyed?
Speaking of the volcano, at the end of the episode, the lava is flowing into King Koopa's room, and has nearly covered his bed. The episode ends with him screaming and begging for help. This was the second to last episode of any Mario cartoon. The final episode has him only appear in flashback.
