a lot of enemies from the pikmin series qualify. but this thing was genuinely scary. it only appears after a few minutes on each level causing you to rush and panic to get to next level, plus it can only be beaten by purple pikmin which you can't bring into this area and are only given some on the last level. 

Monster Ock from Spiderman PS1... Literally everything about it is nightmare fuel. His look, the sounds he makes, and to top it off the fact that you have to run away from him. Chase dreams are a huge theme, so damn them devs for this shit. 

Deviljho from Monster Hunter Tri.

From his ominous music, to the fact he can one-hit you until you acquire high rank armor, to the fact he can randomly show up in almost any high rank quest, to his creepy look with teeth all over his head, to his terrifying roar, he's just straight-up horrifying.

I thought Nemesis was pretty scary looking in Marvel Vs. Capcom:

Dunno if this count but in Dragon's Dogma it has an optional area that has the tone of Dark Souls. It has a unique mechanic as the more enemies you kill the more the stench of death is in the air. The game does not tell you this AT ALL. Kill enough and you risk the chance of the Grim Reaper just showing up. He's massive, has a great texture on the robe of blowing in the wind. He's near impossible to kill. So your best shot is to run like hell.

His existence is the reason I haven't played much of the expansion. I went into it expecting the same as ever, killed a few things then it showed up. It ate my pawns. I died not knowing what the hell was going on, then respawned back at the start... without my pawns. Tried once more but died soon after then never played again.

Probably everything in zelda oot and mm. I think spooked me for life. Besides the already listed: the moon, the paper please hand, corpse of the deko guy, zombies, ghosts, skeleton in the night, the noice the giants make,wall hand monster. The entire forest and shadow temple.

The Berserkers from Gears of Wars. That scream alone send shivers down my spine.

The crones of Crookback Bog from Witcher 3, creepy as fuck.

The song that plays during that fight really adds to the creepiness.