The mascot costumes that have come to life in the second episode. Even though they mean no harm, they're creepy thanks to being broken down and filthy as all get out.
In "Trust Me," all the employees are exposed to their greatest fears by a fear-eating demon named Harmony/Harm-Many. Barney's fear (his parents not standing up for him against his trans-phobic grandmother) is hard enough to watch, but then there's Norma's fear. Since she's autistic, in her own words, her "fear world" is the real world, with every single stimuli around her (sights, sounds, touches) immediately overwhelming her. Harm-Many ends up absorbing so much of Norma's anxiety that he explodes into yellow goo.
The fourth episode has the Night Hag, who steals people's sleep to render them her feral thralls. There's a reason the scenes with said thralls ape Jurassic Park and its raptor scenes, they're on the hunt for more victims and are terrifying.
Pauline Phoenix's scheme to stay young forever: she hires young, beautiful impersonators for her theme park in order to possess their bodies, and once they became too old, she moves on to the next one, trapping the poor girls in a place Norma dubs "the In-Between." As for the previous women she possessed, they are forced to continue working at the park and threatened into silence.
How Pauline originally died. She was shooting a life insurance ad which involved her swinging on a swing over a sheer cliff; she swung out too far and fell off, much to the horror of the crew, including her stuntwoman/friend, Barborah. And considering Pauline's above-mentioned plan, and the fact that she immediately possesses Barborah when the latter climbs down to check on her, there's a chance Pauline did this on purpose.
Everything about the Watcher is not only terrifying but depressing. As we learn it's a brainwashed alternate future version of Pugsley whose spirit was broken by Fingers and became a tool for a war between demons and angels.
Finger's death. After he kills the two Pugsleys, the Master realizes there isn't much use for Fingers as making Pugsley the Watcher was the plan. So He makes a scissor motion with his hands and causes Fingers to slowly shrivel up into a withered decaying hand, the Master is pure Dissonant Serenity in a truly cathartic moment.
