Halo: Flood Infection Forms. Ruddy things swarm you every single time. In Halo 2, without Flamethrowers, Shotguns are the only thing that's actually good to use against them (nades are too slow and rocket launchers make you go boom as well if you hit a jumping form right in front of you), sword is decent, otherwise you're screwed. Also, Flood Combat Forms with shotguns. I HATE the Wall level or whatever it's called, with the endless streams of Combat Forms.
Homeworld2: Movers, when you first encounter them. Fuckdammit, those things destroy my entire fleet every single time. Also, the bloody Keeper.
Commander Keen: Used to play it way back in my youth. Somewhere in one of the early areas, you encounter some sort of dog-like thing, apparently the main baddies of the game. Ruddy thing wouldn't die no matter how much I shot it, and kept chasing me. I had nightmares of that thing.
Dungeon Siege (1/LOA): Mucosas. Hate those things. Those screams are horrible - not particularly scary or anything, just horrible. In DS1, when you enter that massive hall in Wesrin Cross, until recently all I did was stick to the wall and try to attract as little attention as possible.