Yeah, it's a really scary game. I personally hate zombie sounds, they're scary and disturbing - when they get near my house, they just make these noises over and over.
Also, at the beginning, when i thought that all the monsters disappear when the daylight comes, i had two accidents:
1. I come out of my house (seeing no alive mob through the window), and suddenly skeleton starts shooting at me, from a small pocket above my house.
2. This was when i started playing minecraft and didn't even saw a monster once. I was mining coal on some mountain, in a very small (like two blocks) pocket. Suddenly - i heard a new, hissing sound behind my back!
Guess what happened!
Also, gigantic (it takes like three to four journeys to explore and mine everything) cave systems that seem to be created often in my world (and i haven't seen a dungeon - ever!) are all dark and contain tons of every kind of enemies. Scary, especially when there is more than one way to choose, and i never know what's behind my back.