I feel silly for even admitting this but .. Agahnim from Zelda: A Link to the Past. As a kid, he scared me so much.
Runner-ups would be:
Chrono Trigger: First true encounter with Lavos.
Dead Space 2:
During the part where you infiltrate Hyrule Castle after claiming the Master Sword, you come into Agahnim's chambers and he gives his evil speech, then he teleports backward toward the curtains (your clue as to where he went). The sound that plays when he teleports freaked me out, and the fact that he could just disappear like that scared me half to death. So much so that the first time I ever saw that part as a kid, I reached out and turned off my SNES as fast as I could. >____>
Runner-ups would be:
Chrono Trigger: First true encounter with Lavos.
Dead Space 2:
The knowing that I would have to return to the USG Ishimura. Which isn't a villain, I know, but the prospect still made my blood run cold.