Atomos, from any game, but particularly IX. That scene at Lindblum... *shiver*

A lot of bosses in IV were just scary visually, like the Antlion and the Octomammoth.

Anima, which is almost like a scarier version of Atomos. *shudder shudder* Not to mention Yunalesca. O_o

Even regularly normal moments can be scary if the right music is played. For instance, Calcobrena from IV, escaping Shinra Tower in VII, Esper battles in XII, etc.