Most have been said but mine :
Crystal Maze - I also thought they'd be locked forever
Knightmare - the ending especially freaked me out as kid when they were just stood there sometimes like they were left there
Magic roundabout - not sure why but it freaked me out
Ditto the above to Willo O wisp. Think it was Kenneth Williams voice and the weird tv thing and the fairy.
He-Man - Skeletor scared me!
The dark crystal - those weird Skeksis characters!
Button moon - just found it creepy
Animal farm - scary as fuck and sad, same with Watership Down
That weird instrument thing that Rolf Harris used to play
Tales of the unexpected
Dr who - even the music was scary
And finally for a book, Funny Bones! I found it scary even though I loved them