Creepiest boss? Probably Eddie Dombrowski from Silent Hill 2, hands down. With bosses like Abstract Daddy or Pyramid Head, it's very easy to rationalize them as monsters. They are physical manifestations of mankind's sins and baser instincts, sure, but they APPEAR and ACT like monsters. And it's easy to kill monsters, right? You don't get conflicted or a guilty conscious from breaking a wooden plank over some monster's head.
Eddie though... this guy feels like a very real character to me. He starts out very sympathetic, maybe even likable to an extent. Every encounter with him later shows him acting off in a variety of ways, though not too much to set off any alarms... at FIRST. The thing is, Eddie's character isn't exclusive to the game. I've seen people like him on tv, I've KNOWN people like him first hand. Unlike the other monsters of Silent Hill, he HAS a human face, human emotions, and to the end acted quite human.