You can have quite unpleasant sounding scales, but not really any dissonant ones. Dissonance is generally referring to wrong notes or intervals really.

A good 'unpleasant' scale is, of course, the chromatic scale, as well as teh Nonatonic. Persian is also quite weird, as are the symmetric Octatonic and Hexatonics. Wholetone is also weird, because as you begin to ascend it, it sounds major, but then these odd intervals start creeping in. It's good for neurotic music.

I guess on it being really about wrong chords, then in scale-kind-of format, dissonance could apply to arpeggios.

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