The first time I saw the Lambent Brumak at the end of Gears 2, I was moderatly spooked... that is until I realized it had the resilience of a gnat with cancer.
But, some of the scarier ones:
El Gigante and "It" from Resident Evil 4
The Rancor from KOTOR
The first encounter with a thresher maw in Mass Effect
The Leviathan in Gears of War 2
The Bull Rancor from The Force Unleashed
Those almost invincible bugs in Resident Evil 5 (can't remember their name...more annoying than scary, but the cutscene when they kill you still gives me the jibblies)
But, some of the scarier ones:
El Gigante and "It" from Resident Evil 4
The Rancor from KOTOR
The first encounter with a thresher maw in Mass Effect
The Leviathan in Gears of War 2
The Bull Rancor from The Force Unleashed
Those almost invincible bugs in Resident Evil 5 (can't remember their name...more annoying than scary, but the cutscene when they kill you still gives me the jibblies)