Pyramid Head from Silent Hill 2 - first time you see him he's just... waiting for you. After that you know you do not want to ever face him... but you have to.
The Puppets in the Cradle Level in Thief 3 - as soon as you see them lurching about in the dark you wonder if you should really mess with them... then you shoot one, and it roars into screeching life and you really wish you'd chosen to avoid them as your first instinct warned.
Pretty much everything in System Shock 2 - yup, really pretty much everything, but especially the transformed humans wandering around in the dark talking to themselves totally unware theyll be reprised in Bioshock one day but won't be as creepy despite looking better
Shodan from System Shock 1 & 2 in particular - in fact despite only being a computer program Shodan might be the most intimidating character ever IMHO. I particularly loved the way she'd taunt and threaten you during the games. I remember in SS1 when you're going to destroy a certain computer she warns you not to, you do, and true to her word she sends a pile of bad guys to get you in revenge...
Try to be reasonable... its easier than you think...
