These are my favorites here. They're all scary for different reasons:
Pyramid Head: The general idea of a man (?) with a giant rusty pyramid helmet grafted on to his head is creepy enough, but his state of invincibility and mysterious relations with the main character gives him another layer of menace. And, being chased down a long hospital hallway by him is also pretty intense and creepy.
The Grunt: The inability to defend yourself from the horrible mutants in Amnesia is scary enough, but this fear is multiplied by such horrific (in a good way) Monster design. Whoever designed this thing must either be a sick man or really really good at monster design. Seeing one of these running at me from down a hallway is truly horrifying. Well done, Frictional.
The Spider: LIMBO was already creepy enough, but when that spider shows up, everything goes to hell. It's practically a symbol of pure terror, and the fact that you can only see it's shadowy frame only makes it all the more terrifying.