Have you had a quest or just been in an area that was simply creepy or scared you?
(Warning you again, this might be a spoiler to some people)
Only thing for me was when I followed a guy into an abandon house in Markarth. He said the house was used for daedric rituals and I followed him in to help. The screen was getting dark, all the doors were locked and wind from insise was throwing shit all over the place. A voice was telling the guy I was with to kill me and crush my bones, we then had to fight to the death.
You guys have any "scary" experiences with Skyrim yet?