I have a couple of sketches were very uneasy for me too,
1) Danger is no stranger song. It's a nice song if you don't have to look at everything around you, but the second I saw that guy hanging from ropes playing a piano, that freaked me out! Now if I see that sketch on, it's not as scary anymore.
2) There was this unusal sketch that showed about 6 rubber lines attempting to create a circle (which I thought was the end of the clip), all the sudden one of those lines moves out of place - and the music turns really weird and warped. Definantelly scary when I was young. I had to change to channel until it was over.
3) It starts out in a puppet salloon where a bad guy wants to know "Y", and everybody thinks he asking the word "why". The way this sketch was done is scary indeed!
4) Even the sketch where the blue guy (who always goes to Charlie's Restarunt to eat), tells Grover to bring him whatever is on the picture. Which in this case was: Potato Chips, Pickels and a burger (if I remember right). After several attempts of trying to please fat blue, Grover finally gets the order right, and fat blue tells him his lunch hour is over. The way Grover reacted is very frightning to me!!
Hope this helps,
squirrelboy