This was actually my first post but I revised it and added on to it.
Don't laugh at me for this one but Ultimecia from Final Fantasy VIII. I think what scared me the most was that she had 4 different forms and if one of your characters died they were "absorbed into time and space" (in other words you lost the character and all of their abilities) and the fact that you couldn't use your strongest attacks (your GF's), not to mention that when you got to the second form, he/she started to drain all of your magic away and inflict just about every kind of status abnormality possible. Keeping in mind, for those who have actually played the game, you need your magic for the junctioning system (sets your health, strength, ext.) what really worried me was in her final form she had an attack that took you down to 1 hp.
*P.S.
As a tip to people who want to play this game or are currently playing it. At the end, do NOT and I repeat DO NOT SPACE OUT YOUR GF's. That will be the death of you. And the Recover ability is your friend.