A few of them, in my opinion:

Nemesis/RE3

Verdugo/RE4

Redeads/Zelda

I'd say the bosses in Shadow of the Colossus they are very intimidating, at first

Just about anything in Resident Evil, Re-deads I agree with. Creepy bastards.

The optional Sephiroth boss fight in Kindgom Hearts

Took me weeks of trying before I eventually beat him

The first boss in Heretic II, in that small throne room with no cover.

9 tails in Okami, and even more so the very last one shaped like a ball.... they were the ones I needed to use the exorcism slips to get me going.

Also the huge eye with 2 hands on a bongo drum in Zelda OoT (the boss of the shadow temple) And the first time against dark link (though he is easy once you have figured it out)

And Puppet Ganon from Windwaker... particularly the caterpillar form which was like having a huge train home in on you really fast.

IRON MAIDEN/REGENERATOR RE4

the nioses they made scared me

GARRADOR RE4

One of the first bosses in RE4 it was pretty scary it was fast too

Hunters from RE's

I hated these in RE1 they need a ton of ammo to kill

RE's Licker

Pretty scary wen i 1st saw them in the cut scene in RE2 they also were in the rooms that i needed to go to

Silent hill bosses?

 I'll throw Orochi in there, too.  Although not tough, he's still pretty awesome.  The ball shaped one is Yami, btw.

King K. Rool in DKC2 was really tough, if I recall correctly.

Man, she was a horrible, horrible and gruesome b*tch in the first game. Seldom have I encountered a bossfight so tough. :/

Also, yes, OOT's Redeads creeped me out too!