The series has gotten progressively darker, but the scariest episode is The Blair Witch Hangover, in which Donnie seems to be stalked by a spectre ]In the next episode, it turns out it was just a small girl trying to scare him.
It is revealed in episode 5, Blue Patches, that Donnie used to be a child star, but quit and changed his name after his mother committed suicide by jumping out of her window. This is very sad.