The introduction of the Snipe in Crash of the Titans scared me because I didn't know it was coming and I thought it was just a scene with a cute fox, #stopabusingbabyfox
Knaaren from Rayman 3 had an amazing buildup and introduction, I was too scared when I was in the room with the first puzzle that I stayed put for 10 minutes before I figured out what to do, then it kind of lost it's effect but it was still a cool concept and it was funny when they talk and they don't know you're listening.
Next is Count Spatula from Cars the Video Game, you can't race as Luigi, Filmore or Sarge (you can in the sequels) BUT you can play as "Count Spatula". You know, FROM THE MOVIE!!! I was too scared to buy him because I thought he was gonna eat me if I did.
The last one was when I was 4, it's REALLY PATHETIC tho, so there's your warning, this is the least scary thing I'm putting here.
There was this dog statue that looked similar to this at someones house, every time we went they had to put it away because I thought it would run up to me and bite my head off, I was a real p**** when I was little.
For some reason when I was 5 the Werehog never scared me, seems like something that'd give me nightmares.