Doesn't have to be a BAD scary song, but one that can frighten you occasionally.

Good scary song:

Tori Amos - Me and a Gun is probably the scariest and saddest song I've ever heard, and consider that I love to listen to depressing music, that's a big feat. It's just her singing about how she was abused by a man with no music to it, a capella. The lyrics are scary, but awesome. Tori Amos is the lyrics master.

Bad scary song:

Avril Lavigne - Chop Suey. Her cover frightens me, as does most of her songs, especially Sk8er Boi. :/