Morrowind, my absolute favorite TES game and probably #3 or #2 game of all time doesn't have anything remotely close to that. Nothing scares me at all in that game. My blood never really gets pumping. Even the werewolves during the excellent Bloodmoon storyline looked comparatively tame compared to their Daggerfall counterparts. And Daggerfall was six years prior! Morrowind's otherwise fantastic soundtrack also didn't have any of the eerie ambience.
Oblivion and especially Skyrim also never really scared me. The only real scares I had in those games came from the thrill of a tough fight and the anxiety over whether or not I'd die. I am combing my memories and trying to remember any scary parts. The bugged serial killer story in Skyrim was more humorous than scary....I'm coming up blank.
Horror fantasy is something I feel this series has lost -- and it's something I think would be incredible to have back, especially if the next installment is in the Black Marshes, although it could conceivably work in any location except maybe Valenwood.