What he looked like in his latter years, never mind what the large number of oxygen tanks found in his apartment after his death might've been used for.
The famous "Thriller" video, a send-up of 1950's horror films, which features him transforming into both a were-cat and a zombie (the former on-screen and quite detailed, what with the video being directed by John Landis), and ends with Jackson turning to face the camera with yellow cat eyes and a Slasher Smile in the final scene. And if those examples don't creep you out, then Vincent Price's cackling at the very end certainly will!
His music video to "Leave Me Alone" is so surreal that it can be frightening for very young children who don't know what's going on.
The music video to "Ghosts" had some scary moments as well.
Jackson's plastic surgery became creepier and more grotesque every year.
The very idea that an adult man who lives alone in a large mansion invites little children to come and play with him and spend the night in his house is very disturbing to some people.