I'm going with Tonberry for one reason and one reason only: the Mega Tonberry from FFX-2.

That is probably THE most scary enemy in the entire series. I still vividly remember my first time jumping into one on accident and promptly getting hit for 30000 damage repeatedly. From that point on it's time to descend carefully but as you go deeper and deeper they appear more and more, sometimes surprising you around corners. So many scares were had.

Malboros are scary too but over time it's gone from being scary to "oh come on, again!?", drawing more of an annoyed reaction than a scared reaction.