Vampire Ancients in Daggerfall were pretty damn scary, considering if you didn't have a powerful Spell Reflect up, they could easily kill you before you even knew what hit you, even at high levels. You'd be walking through a dungeon, walk past a corridor, and BAM suddenly your dipping towards the floor with no health, and the last thing you see is the feet of a Vampire Ancient.
Btw, did those Corrupted Shades yell out "VENGEANCE!"? Like this http://www.youtube.com/watch?v=AFeN5-M8GR8
Daggerfall actually had some good gotcha value to it, I remember the nightblades who loved to jump out behind corners and cast in your face. It also used sound well, remember the skeleton in Privateers hold? I remember hearing it on my first character and was like holy SH*T what is THAT!!!? Of course the aweseome surrond sound my friend had might of had something to do with it. I also just remembered the crazy Daedra that would randomly spawn on top of you out of oblivion.
I really haven't been startled in Skyrim, I think because the majority of time I am in sneak so the icon changes when noticed, aslo the music kind of gives it away. For scary looking Dragon Lords, Hargravens, and the Wraiths are pretty good.