Since people did mention creepy things in RF as well:
- In RF4 is the doctor's eyes in some scenes. His shades go all black and he has a total jekyll hyde thing going on.
- Also Kross in RFF. I love Kross but there is no way he is not a ghost of some sort.
- Kinda Sharron from RF1? She's definitely implied to not be human, everyone says she never sleeps even when she goes to the inn, and is basically only best friends with Melody because they share some secrets about each other's pasts, as revealed in Melody's heart events.
- Daryl spying on your kids in A(n)WL.
- Kai implied to be a slave in HM64 (come on, his dialogue totally does not sound like a mere servant's...)
- The ghost in AP, while not scary in and of itself, was a surprise
- The randomly evil farm animals in the mines in DS/Cute
- The HG not forgiving you for some reason in FoMT.
- Tons of various random scenes and events in A(n)WL/DS/Cute etc that explain weird things going on about the town that just kind of.... never are explained fully.
- The fact that the WP is strong enough to cause storms, eternally curse people to be mute forever, turn people into stone, etc, in the various games, and clearly doesn't have full control over her powers.
and of course... - THE. FREAKING. TEDDY. BEAR. He terrified me so much as a kid I had to stop playing AnWL for quite some time.
Oh also, PBG lists a couple of the weird/disturbing/creepy things in HM briefly in this video, some of which overlap with what I have said here:

