So yeah, look at the title. There are many scary things in games, some even in the depths of friendly games like Mario and Kirby. They can be seen in about any game.
The dungeon guardian from Terraria scares me the most. Redeads, pfffffffft. The Dungeon Guardian comes at you flying, instakilling you. The worst part is... every attack does only 1 damage... 2 if critical. And the Dungeon guardian has 9999 health and goes through walls. Also makes the boss sound when it appears. Appearance is not as scary. It just uses Skeletron's head as it's sprite.
Mega Tonberries in Final Fantasy X-2, their main attack can deal tons of damage, most likely enough to OHKO you, and their battles are inescapable (meaning you have to win, or face game over). Thankfully all of their fights are optional (they can only be encountered by touching them on the field and never in random battles). Not only are they deadly to unprepared parties, their appearance can be quite scary especially in the later floors of the bonus dungeon they appear in. One room in particular has a hallway that you must go down, but the camera switches view partway through (the Mega Tonberry patrols this hallway, walking slowly back and forth), this can be quite frightening if it happens to be right in front of you when the view switches. They are quite large as well so you have to squeeze past it on the sides in order to avoid touching it.
These things if you dont know what I'm talking about.
They honestly didn't quite scare me, though I took a moment of silence to marvel at their impressively haunting design. I saw them before they saw me, thanks to my careful movement and my Thief's Ring.
Most people do not get to stand before their violent, horrific death and contemplate it so peacefully waiting for them.
I got another one, the Reaper from Persona 3. Though to be fair, the atmosphere is more scary than the actual enemy is. The Reaper is capable of easily killing low level parties though true to its name.
But the way it hunts you down in almost total darkness with nothing but chain rattling sounds to let you know of its presence. Your backup team warns you when its coming, but still its pretty creepy.