For me I'd say Narmia's quest, from start to finish.
It's not often something from TES creeps me out (unlike fallout) but that was something else..

The Boethiah cultists weirded me out.

I didn't really have a disturbing moment, although finding all of those shoes in Shriekwind, kinda weirded me out.

Listening to the female blacksmith in Whiterun talk about her father every 2.7 seconds.

Namira's quest for sure.

Frostflow Lighthouse.

Yngvild.

Being followed by a laid down essential NPC. They just follow you while laying down! Madness i say!

Oh boy you just got me started:
*Brushes past someone*
What's the matter? Can't stand the sight of a strong Nord wom- You know what the problem with Skyrim these days? Everyo- Do you get to the Cloud District often? Oh what am I saying, of course you don't! Did your good deed for the day, hmmmmm dear? I work for Belethor at the General Goods store.

*1000 gold bounty added to Whiterun*

Ainse or w.e shes called was pretty creepy, always knew she would be more than just an elderly woman.

When I realized the bee in a jar is there just for decoration.

"I help my father in more ways than people realize."
Um..