Fallout 3 has the Dunwich Building and the Springvale School. These places scared the crap out of me. Springvale School had the dead kids, Dunwich Building had the ghouls that came out of no where. There were other places to that I can't really think of at the moment.
Even though Fallout New Vegas did try to create some of those moments, like for instance when you are told to go to REPCONN to get rid of the ghouls there and when it's just really dark and all of these ghouls are coming at you from no where. It just didn't have the same scare-factor that I found in Fallout 3.
In a post apocalyptic game with creepy looking creatures ( ghouls, super mutants, centaurs ) you would hope to at least experience one good Scary Moment.
Now I haven't beaten the whole game yet, so there just might be a couple of areas I haven't discovered yet that may creep one out but probably not.
Reminder: WTF moments =/= Scary Moments