Again this is another easy one. Scaring a bairn is one thing. Scaring a grown adult is quite another. The Vashta Nerada, the shadows that melt the flesh, as seen in The Silence in the Library and The Forest of the Dead.
Creatures that lurk in the shadows, disembodied people continuing to talk after death, all the haunting stuff that went on as you were trying to figure out about Cal, wondering who this bloody awful River woman was and whether she could be trusted. Then she goes and (as we later find out, again) sacrifices herself for the Doctor.
It was proper creepy and one that I have to be feeling very brave to watch.