Wow, there's a couple of them. Probably the top scariest enemy, sadly, were the weird mosquito baby things from Doom 3. Just the little noises they made and the fact that it's this innocent baby with claws and mosquito wings jumping up trying to slash you.
There's also damn near ANY psychopath from Dead Rising, particularly Adam the Clown and the GIGANTIC retarded butcher guy.
And ashamedly, the level 343 Guilty Spark from the original Halo. It's my all time FAVORITE level in ANY FPS, and I still get creeped out by it. Just the fact that pretty much EVERYTHING you pass is already dead, and seeings shapes moving through the mist that you hope are Marines. Then going into the Covenant base and finding piles of dead aliens and hearing strange chattering noises. Then finally you are trapped in a room with swarms of parasitic egg things that explode when they touch you, and lumpy recreations of enemies you'd just gotten familiar with.
While on the Halo vein, I guess just the entire level of The Library on anything harder than "normal." I think most Halo fans will agree with that.
*Also, the entire World War 1 section of The Darkness scared the HELL out of me, but particularly there was a man sitting in a trench who would talk to himself for a few minutes, shoot himself in the head, and then sit back up and do it all over again. And it wasn't so much the character in the game that freaked me out. Just imagining having to be stuck in this trench-filled Purgatory, commiting suicide over and over and over but not being able to die freaked me out to where I had nightmares for the next couple days. Call me what you want, that's f*cking FREAKY.