The guy at the beginning getting "eaten" by the Cave of Wonders.
Abu pulling the sword out of the sword swallower's mouth in "One Jump Ahead".
The deleted ending where the Peddler reveals himself to be the Genie - supposedly cut for time, or because people would have left early and missed the gag, but maybe the REAL reason is that it would have ended the movie on an eerie note. This sequence has only been seen by the masses in storyboard form, but the combination of the Peddler/Genie's ominous vocal tone, dramatic music in the background, the sudden unexpected "poof" transformation, and the fast pace of the sequence gives it a strong scare factor. Then, to top it off, the Genie "makes ya look" as in the final ending, except that he does so by letting out a really shrill scream.
Mozenrath. Something scary is bound to happen whenever he appears. The fact that he looks and sounds quite gentle only adds to it.
The Mukhtar. Not only for how he looks, the sound of his voice, or him being one of the biggest Badasses in this show, but there's also the fact that you can never shake him once he sets out to get you. And then there's the wailing... and The Nose Knowssniffing.