I mean, in Morrowind, the Sixth House were terrifying.
Going into one of their bases for the first time was maddening, you had zombie slaves, faceless dark elves, cthulhu priests, etc. around every corner.
Seeing some of those enemies for the first time and having them herald the return of Dagoth Ur was one of the more unnerving main quests in video-game history.

In Oblivion, there wasn't anything as scary.
The main enemy faction was just a group of people in red robes.
You'd enter a room, someone would scream "Die!" and then you'd see a suit of armor come at you, at best, at worst it would just be a Wood Elf or someone running at you with a staff.

Hopefully in Skyrim, they find a way to make the Dragons scary in more than just a "Oh, a dragon, run!" sense.

Doesn't look like it from the E3 demo,

But those tunnels in the Oblivion realms were almost the same as the SIxth House bases or the Corprusarium.

Maybe a little.
I've never really found Daedra scary, I guess.
Hopefully they'll bring Bonewalkers or something back.

Would it count if you were just running along, watching the road to see where you're going when suddenly...

BOOM

A dragon dive bombs you out of nowhere!

I think the Draughrs are going to be pretty creepy. zombie nords attacking you with some wicked weapons seems like it would be scary.

Dragons arn't meant to be scary, they're meant to be epic.

And I got scared WAY more in Oblivion, like when I encountered zombies for the first time and it was really dark..

I thought the dragons in the E3 demo were pretty intimidating!

They just looked like dragons to me.

Intimidating yes, but not 'creepy' like ash vampires and ghouls in 6th house bases

And I also found Oblivions zombies more disturbing than Bonewalkers. Especially those Dread Zombies

I think it's more humorous than scary when an armless or headless thing is trying to fight me.

I loved Draugrs in Bloodmoon, I'm glad they're returning. You say there wasn't any horror, but what about the http://uesp.net/wiki/Oblivion:The_Horror_of_Dive_Rock?

Probably fewer scares, considering enemies now show up on your compass.

You'll see their icons ahead of time, Fallout-style, thus removing any surprise.

Here is a tip, anything that you know in your head can kill you will scare you, so either increase the difficulty or don't exploit the leveling to become amazingly powerful. I will tell you this though, the lighting is a lot better in skyrim so the potential to have some pretty creepy scenes is there. So the goal is when you step into a dungeon you fear that you might not escape alive if you go in too deep.

I feel you there, I had to set down the controller for a while :ermm:

That was so cheaply done.
If you'd played the Original Udyfrykte quest, the one in Oblivion is a joke.

Also that re-texture was one of the dumbest things in the game.

Not retexturings finest hour

No you don't... you only see enemies you've already engaged on your compass. Or did you miss that detail?

OFF TOPIC:
Fallout scared my socks off....

The wolves show up prior to you engaging them, although it's true that the other footage is a little inconclusive (sometimes the icons don't show up at all), so I'll hold out some hope. Maybe the icons only appear out in the wilderness rather than in dungeons, etc...

Fallout relied a lot on the fact you were a lone wanderer in a sparsely populated world, so it wouldn't transfer to Skyrim

Oh I know, but I just wanted to get my fear of metros out there ^-^'

You want horror?

http://fc01.deviantart.net/fs71/f/2011/075/2/b/skyrim___giant_spider_by_asylumassassin-d3br373.png

There you go

Oblivion had some scary moments. Clearing out the Anvil house was pretty creepy and I never used it as my house - too damn scary knowing what was still in the basemant. Finding mother's head in the lighthouse was unsettling. In general, I didn't like ever going into the undercrofts. I always hated going down into the Dark Brotherhood hideous too. Not horrific, just unpleasant.

I think its because you see them/ detected them while they are approaching
like how if your running up to an enemy with his back turned,
he'll see you, but you might not notice him if he sprinted to you.

I remember I was freaking out when I entered the Anvil Lighthouse basemant for the first time. Granted, I was like, 11 or 12. Still, it was DISTURBING....