The two scary video game characters that I can think of right away are the Little Sisters from Bioshock and the poison zombies that throw poison headcrabs at you in Half-Life 2. First of all, the Little Sisters don't look that scary, but their voices are creepy (plus they drink juice they extract from dead bodies!) Also, in one of the Half-Life 2 episodes there's a part where I came across a locked door with a chair propped up against it. Through a small window, I could see a shape running back and forth across a room very quickly. I took out the chair and waited for a second and a poison zombie broke down the door and started throwing headcrabs at me. I couldn't play Half-Life 2 for a few hours after that.