A selection of Silent Hill's creations have to be right up there. There was some enemies there that made me just want to say "...No!" and run away! For me, Pyramid Head still remains one enemy that genuinely gives me the creeps. That head, that sword...! My general reaction to seeing him was basically running as far away as you possibly could. I really didn’t like facing it.
Another one with similar levels of fear has surely got to be the Tyrant 103 from Resident Evil 2. The truly enormous, well built expressionless character wearing a grey/green trench coat. No, he wasn't fast. He was very slow, actually. He was pretty much silent too. Very mysterious, which added more fear. So, what was it about him that terrified me? He was relentless. He just didn't die by conventional methods! My friend called him a 'meathead'! If you got in his way, you knew about it. He'd take about two thirds of your health away in one hit and would totally floor you. It took about six grenade rounds or god knows how many shotgun shells to defeat him from memory. Good luck with finding all that ammo (and weapons) on the hardest difficulty setting... In confined rooms or corridors, you knew you were going to be in for a tough time or your own controllable extended death scene when he was around. He also made himself known in this guise in Survivor and The Darkside Chronicles, where Capcom give him some new moves. I'm probably going to be in a minority on this, but I stand by my opinion all these years later that I found him and still find him scarier than Nemesis from the third game.
Both these characters, still to this day, have to be the scariest enemies that I have faced in console gaming. There are some quality PC Horror games (most are indie) which have surpassed these now in my eyes but regardless of that, I will forever remember both Pryamid Head and the Tyrant 103 very fondly and in high reguard.