Obviously, I can't say for certain, being as I haven't played the game, but based on past experiences with Bethesda games, I can't say I expect Skyrim to scare me. Oblivion never scared me, and neither did Morrowind, maybe with mods, they could succeed at getting a few scares out of me, but the games, as they were upon release, just didn't do it in that regard. Of course, they Elder Scrolls is not a horror game, it doesn't really need to be able to scare me to succeed, but if Bethesda ever meant to scare players in Morrowind or Oblivion at any point, then it did not work for me, and I don't really expect Skyrim to succeed where past games failed in that regard. For one thing, the developers have never given me any reason to believe that they're able to scare me, and for another, the Elder Scrolls isn't really the type of game that lends itself to being scary, and I don't just mean that in the sense that it's not a horror game. Aside from the open world thing already mentioned making it difficult to intentionally craft situations to scare players, there's also the fact that even when you have monsters that LOOK scary, once you realize that you can handle them, the fear they can inspire is diminished considerably, and I think that's part of what makes games like Amnesia work well, because the things that you're afraid of aren't things you can kill. I often find that horror games like Dead Space really aren't that scary, and aside from overreliance on jump scares that often become quite predictable and gore, I think part of that also comes from the fact that all too often, your character ends up becoming a badass. Monsters suddenly become a lot less frightening when you can kill them reletively easily, as it diminishes the sense of helplessness, like your dealing with forces beyond what what you can handle, and your only choice is to struggle to survive, if you can even accomplish that, and that feeling doesn't exactly mesh with being the all powerful hero who is the world's only hope.
Now, past games could potentially inspire a sense of danger, but that's different from being scared, any game can do that, if you know there's legitimate risk involved, but actual fear is much harder to do, and based on past experiences with the Elder Scrolls, they might SAY Bleak Falls Barrow is "terrifying", but I'll have to see it to believe it.
I agree with your statement in general
but look at Morrowind, it did great with creating different scary atmospheres in the game, though it was more psychological than actually being scary.
That's not a statement I can agree with. Now, Morrowind was able to inspire a number of things in me, but fear was never among them.
This dungeon going to contain spiders, so it will be instantly scarier...
That really depends on who you ask. If you have arachnophobia, then yes, it would make them scarier, but since I don't, spiders really don't do much for me, I just find them to be cliched and kind of boring as far as monsters go.