tons of stuff in Courage, the tom and jerry one always made me sad too.
I also found that a lot of episodes of certain things gave me the creeps too, as an adult.
-The episode of Wild Thornberrys where Eliza gets lost in the woods and is haunted by the Maasai legend of the lost little girl
-several episodes of rugrats, including the one with the monster under chucky's bed, tommy getting kidnapped by mobsters, chuckie dreaming about being executed on the toilet, and the time there was A DEAD BODY IN THE DEAD LETTER OFFICE
-The episodes of Hey Arnold with The Ghost Train, The Headless Cabby, The Ghost Bride, and Four Eyed Jack. These always creeped me out as a kid, mostly because at the end of the episode, the legends all turned out to be true, which creeped me the eck out. not to mention:
I'm sure i could think of others as well, but those are the most prominent examples i can think of