Now that I came to think about it, the only things that really creep me out in Tolkien's books are hints - hints such as the given examples about things in the Sea, or rumours of darkness gathering in the East in the very beginning (that is one thing I forgot to mention in my last post, though it is probably one of the most disquieting things in the whole LotR), or dark things that creep in the northern wilderness.
The proud, ambitious people who fall into madness are a different thing entirely, they are, as has been said, scary in a different way. But scary nonetheless, I insist.