I'm surprised nobody's mentioned those flying head things that would chase you if you had a key in SMB 2. They're still not as scary as that damn sun, though.
The Phantos? I believe they were mentioned at some point here...Maybe I'm just imagining it.
Legend of Zelda: Ocarina of Time. That... THING at the bottom of the well.
This made me laugh. Not in an offensive manner, mind you, because I am agreeing with you, it was freaking scary. It was funny because of the way it was worded. I assume you mean the Dead Hand, no?
Personally, I was terrified of Ocarina of Time when I first played it. Strangely enough though, it was not for any creepy enemies later on in the game. The Kokiri Village gave me enough of a fright-fest (I was around 6, mind you).
Even stranger yet is that my memories of the game do not coincide with the actual events of the game during Kokiri Village. From what I recall, there was a massive Deku Baba plant in a portion of the village (Think Bongo Bongo sized, but primarily shrub-like) which I was terrified of. Now one might think that this was a clearly active imagination or some intense nightmares of the game and the Deku Babas. Well that may be all fine and well, but then I also recall another scene from the Kokiri Village. Recall the tree trunk doorways to and inside of the Lost Woods. Well from another such memory of the same time as the Deku Baba one, I recall at one point going into one of these doorways and arriving at what appeared to be some spiritual shrine circular in interior shape and rather large. Within the area I recall two Stalfos (Yes, a perfect image of a Stalfos remains in my head) that you had to battle, but I did lose to them, as I remember. Call me crazy on both accounts (I sure do) but how did I remember Stalfos if I never got past Kokiri Village that first time? xD
On another note, Wallmasters make me very tense. When I enter a room and a Wallmaster's presence is known I do get very tense about the situation, even still and within every Zelda game.