I think the creepiest episodes in Avatar were when the Gang goes to Ba Sing Se and they see how the government has complete control over EVERYONE, basically like 1984.
And when Katara learns to blood bend, that dark part of water bending.
Despite these episodes being creepy, they are truly valuable episodes because many tv shows and other movies in general tell the audience to see the characters in the black/white affect. However, Avatar tells the audience that everyone is capable of good as well as evil.