A lot of stuff from Zelda: Windwaker really screwed me up as a kid. The Redead, for one, with how their heads roll to look at you, to the howling sound they make, to the fact that you can't move at all once they see you. I avoided them like the plague, especially that one beneath the villa you can buy. I did giggle a bit though, once I actually got caught by one and found out that they just chomp on your head for a bit before letting you go.Parts of the Forsaken Fortress, too, like the little gremlin things that spawned if you touched the ground or that statue that FIRES LASERS at you if you come into it's range. I always terrified of leaving Medly or... the tree guy alone in the temple, too, because I thought something would come in and swoop off with them and I'd never complete the level. Didn't stop me from leaving Medly by the giant sun face for, like, a week while I ran to give pictures to the figurine gallery guy.
As for moments that terrified me now that I'm older... There's been a few moments in Terraria, of all things. The first time I summoned the Wall of Flesh was on accident - a voodoo demon died over lava - and I ended up getting klled... but, figuring the Wall of Flesh had despawned, I dropped back down to the Underworld to complete construction on a project. A few minutes later, creepy music starts up. A few minutes after that, I get jumped a random hoard of leeches. Mere moments after that - yep, there's Wally, barreling down at me. The set-up for it was just a lot better than the first time - I knew about the Wall of Flesh by then, so I was all prepared. That second time, though? Eesh.
Then in hardmode, there was my first encounter with Skeletron Prime. Except... it wasn't SP himself that scared me. I didn't know that he could randomly spawn at nightfall, so the first time I got that "The air suddenly feels cold around you" I pretty much curled up in the corner and waited to get murdered. I had absolutely no idea what it was all about. The message that SP had awoken was almost welcome by that point.
And while this was more of an "Oh shit" moment rather than actually terrifying, I was in the underground jungle once, fighting a man-eater with a ray gun when a shot goes wild, disappears off-screen, I hear a breaking sound and... "The Queen Bee has awoken!" That made for a miserable few minutes.