It's not really scary in the slightest, I found even the ghouls in FO3 weren't scary once you've fought them running around one-shotting them in the face with a combat shotgun blasting out 'Bongo Bongo Bongo'

Nope, it is not.
There are a lot of jumpscares to be had by fast enemies attacking you out of nowhere from the sides or from the behind.
But those are just small shocks, nothing is truly "scary" in Skyrim for me.

Aventus of Windhelm--aka the creepy Dark Brotherhood kid--scared the hell out of me. I thought he was going to transform into some demon right then and there.

They need to have some mentally ill possibly mutated enemies in dungeons with absolutely no light, you have to use your own light. Maybe there is some kind of magic that keeps putting your light out.

The fear in this game seems to be more based on "fear the daedric gods" for example, which isn't that scary for you playing the game.