In response to Are You Afraid of the Dark, I say Tale of the Quicksilver tops them all.

First time I played Mario 64, it was all new and fresh to me to be interacting in this 3D world... So when I first came upon Unagi the Eel in Jolly Roger Bay, it scared the hell out of me. I even had to get my sister to get the star for me in 'Can the Eel come out to play?'
In OoT, the first time I came upon the Spider House in Kakariko Village creeped me out. Another thing that scared me because I wasn't expecting it was when I went to the lab at Lake Hylia and put the iron boots on in the water in there to see what was in the cage, and there was a friggin' shark. This 2D, random pixelated shark scared me. Lame. Underwater enemies always seem to scare me. Like Chomper the shark in Banjo-Kazooie, and that huge metallic one (Clanker?) when I first saw him.
One of the first things in a game to scare me though was the goddamn tyrannosaurus Rex in the Genesis Jurassic Park game. That thing was jus deadly, man.

As for movies, there were a few things. (Spoilers in 20 year old movies ahead!!) First was in Who Framed Roger Rabbit, when Judge Doom reveals he's a toon and he's all yelling and shit in that high pitched voice - I would actually run out of the room.

Trantor the troll in Ernest Scared Stupid scared the hell out of me (serious nightmares), as well as the scene in Beetlejuice where he turns into a giant snake. That's some heavy shit for a kid. Plus... Large Marge in Pee-Wee's Big Adventure. Holy shit I hated that.

And the earliest scene I remember scaring me... Was in Little Mermaid, when King Triton got pissed off and started smashing up Ariel's shit in the secret cavern thing. Ha.

Thanks for the memory trip, Maggy.