I was very easy to scare as a child so I'll just post whatever first comes to my mind about the topic:
Doom: Everything on it even the crappy mountain's in the background, it all seemed so empty.
Resident Evil: The First Zombie turning around to look at you, aside from that, Everything.
Donkey Kong Country: The Invincible Crocodiles that dwell in the mines.
The Legend of Zelda: Ocarina of Time: The Market after Ganondorf destroys it.
The Legend of Zelda: Majora's Mask: Pretty much everything specially Ikana Valley, Great Bay and the Ranch while being invaded by the Them.
Zombies ate my Neighbors: I couldn't even move at the first Stage, even the music was scary to me.
Some Alien 3 game for the Sega Genesis I think: There's a lot of people on the walls that you have to free, Just seeing them was scary 'cause at any moment their stomach could burst with a Baby Alien.
Some Jurassic Park game for the SNES: The when where your weapon is some electric beam ray thingy, everything scared me in there as well, specially the 1st Person parts.
Earthbound: The intro with the UFOs.
Darkstalkers: Jedah's Stage: Fetus of God, have a look at it: