1. Ringwraiths, really. All that sniffing and chasing in the Shire, the lonely cry, the attacks of Crickhollow, Bree and Weathertop and the flight to the Ford... *shudders*
2. The Barrow-Downs are really scary too. The fog, the stones and the wights. Also, I find the story of the Barrow-Wights rather creepy yet very fascinating. And very sad too. I wish we knew more about it.
3. I have to agree about the nameless things and the Watcher in the Water. The mysteriousness and their ancient origin are very fascinating and scary. Also, Moria itself is a rather scary place and the Book of Mazarbul is just thrilling...
4. The Oath of Fëanor. All the bloodshed and madness it creates. Or actually, maybe I should nominate Silmarils instead. Scary things, anyway. (But again, very fascinating...)
5. The Ring itself just because of what it does to people, especially to Frodo and Boromir. (Or should I now nominate Frodo and Boromir? They are both pretty scary when the Ring gets hold of them...)
6. Númenoreans. Their pride and arrogance and cruelty scare me, as does their colonialist attitude. And what scares me most is probably the fact that they are not utterly unlike me...
7. Sauron's dungeons in Tol-in-Gaurhoth, the werewolves and Thuringwethil. They too are only vaguely mentioned and thus make me both a little scared and more than a little curious.
8. Mirkwood. Not the spiders, not the presence of Dol Guldur, not the river, not even the Elves (although Thranduil is quite scary in a way)... it's just the atmosphere. Something magical and somewhat unsettling, the dark, the eyes and the lights of the Elves.
9 .Wargs. Maybe because Tolkien describes the atmosphere of them roaming around and their howling so scarily.
10. Everything else that is scary, so: the Silent Watchers, the Palantíri, Huorns (and especially trees of the Old Forest and Old Man Willow himself), Ungoliant, Shelob, Glaurung, Morgoth, Sauron (mostly for the really ugly Eilinel&Gorlim thing), angry Valar, Eru (mostly because he seems not to care most of the time), the great eagles (yes, really, but they are cool too), Denethor, Minas Morgul, Cirith Ungol and Dol Guldur (if places count). And then all the scary stuff I've forgotten...
