I'm glad someone mentioned System Shock 2's nurses. Kinda made me think of Silent Hill's nurses, but SS2's were better. Hell, the damn monkeys were scary too, that whole damn game was, pretty much everything had you shooting at shadows, but those damn nurses were tough and with SS2 being a true survival game and ammo being scarce, they were a real threat. At least with big daddies you can infinitely respawn, there's plenty of ammo and EVE, not to mention it only takes the tiniest amount of care to not set them off. You can chose to engage them only when you're ready, so they're hardly 'oh shi-' moment worthy.
However, Bioshock does have my winner- the plaster spider splicers. Fort Frolic is full of plastered corpses posed in macabre dioramas so they blend in perfectly, happy to pause and imitate the common statues. Some of those motionless, indestructible dioramas on your way into a room may come alive as a nasty collection of plaster splicers when you return, and all of it performed in the eeriest of silences. Sure, they're not the toughest enemy ever, but they creep they hell out of me and have one of the best weapons on their side- surprise.