Silly as it may sound, back when I was playing the heck out of Daggerfall, it was often very late at night in a dark dorm room, alone. Most monster sounds were scary in that environment, but nothing worse than the spider. I'm terrified of spiders to begin with, and in that game they were huge. And green. And nasty. Still frightens me.
On a more comedic note, scary in a laughable way: The (lousy) port of Bad Dudes for the NES. The NES was really bad at digitised voices; why they tried in this game, I'll never know. But your character was supposed to shout "I'm bad!" at the end of every level. The voice sample was so scratchy, and so horrible, and so incredibly LOUD, that I jumped out of my chair the first time I heard it (hey, I was 9 at the time!). It's just funny and sad now, but my friends and I used to have to cover our ears when we beat a level to hide from it.
