I can agree about the "no spiders" thing, though not because of the fear factor. In fact, it's because usually, I find spider enemies distinctly unfrightening, they are, however, often very annoying and incredibly cliche.
That being said, though, the Elder Scrolls is not a horror game, so Bethesda shouldn't make scaring people the main focus. But sometimes, a good bit of horror is just appropriate, and I hope Bethesda will be able to convey a full range of emotions when it is appropriate. It's not really all that different from how something bad happening to a major character will be made a tragic scene even if the work in question isn't necessarily a tragedy.
I'll vote for "very", though, because average is compared to what most games offer, and most games strike me as about as scary as a brick, then again, a brick could actually be pretty scary, if it's rapidly being hurdled towards your face, but I think the bizarre anology gets the point across.