With the following text, it is clear that an exclamation mark after the phrase is inappropriate. The dash is not appropriate either - it is used to mark a break of some sort, but the text that follows "what is more" or its contraction "what's more" is a continuation of the previous thinking, not a contrasting thought.
A comma is fine; what's more, it is the punctuation I'd use automatically.
Whether the comma is necessary, or allowable, after the "and" is perhaps a little debatable. As you can see, I'd use it; and, what's more, it feels right because there is a small parenthetical break around the "what's more" part of the phrase.
Black dog is an oft-used phrase to mean depression.
Here's a link that attributes the phrase to Winston Churchill, but I suspect he didn't invent it. I like the way they described it though:
"Black Dog" was Churchill's name for his depression, and as is true
with all metaphors, it speaks volumes. The nickname implies both
familiarity and an attempt at mastery, because while that dog may sink
his fangs into one's person every now and then, he's still, after all,
only a dog, and he can be cajoled sometimes and locked up other times.
This paper (PDF, sorry), claims several references in the 1800's. Interestingly, the way they describe it (being ghostly and following people around) makes one wonder if it isn't ultimately related to the English folklore character Black Shuck.
Best Answer
Well, you could say X is dreaded by Y (where Y is the frightened one). But it sounds a bit odd.
Y dreads X is shorter and easier to grasp.
Y is really scared of X is longer but actually more likely to used, I think.