I'd have to say the Witches from L4D because you hear the crying and then you get tense, you have to turn out your light so you can't see, and then when she does come after you she's either suddenly up and charging at you or you turn around she's right in your face preparing to claw your nipples off.
There's also the eel underwater from Super Mario 64. Something (I don't know what) about that thing scared me.
The bear from Condemned 2 was scary due to the fact that you can't fight him and the whole time I was running from it the only phrase out of my mouth was "Holy shit, holy shit, holy shit."
The Chainsaw guy from Resident Evil 4 was frightening because when you hear him rev that chainsaw you know he's nearby but you don't know where. I think the chainsaw sisters were not as frightening because you know that they're coming but the chainsaw guy is usually so sneaky that you don't know he's there until he's already sawing you into a bleeding, splattered mass of dead.
To this day, I still can't stand to play the hedge maze area in Resident Evil 4 because I can't stand when the dogs jump out of the bushes to gnaw at your genitals and tentacle rape you to death. Those tentacles and the sudden surprise attacks have always scared me.
The only other thing I can think of are the Smileys, Piggsy, The White Rabbit, and The Skinz in the Junkyard, all of which are in the game Manhunt. I'll explain why.
The Smileys: They talk all kinds of psychotic nonsense, wear smiley face masks with words such as die written on them, and they're just generally scary.
Piggsy: What's not scary? A fat guy in a pig mask with a chainsaw, sorta like Vincent Smith in the movie Motel Hell. Enough said.
The White Rabbit: People in dirty, creepy animal suits always scare me.
The Skinz: The always scared me when I was walking through the open junkyard because they would break the eerie silence with an ear-splitting scream that makes your heart skip a beat or two while you frantically search the darkness trying to find out if he's about to slice off your nipples or shove a knife (or bat) up your ass.
Sorry that it's so long but I wanted to get them all out there and explain why.