That cave isn't even that creepy... did you go through the Dunwich Building in Fallout 3?
Well you're right about the cave. I was reading the notes and listening to the emergency radio signal on the way to the camp and it was talking about creatures in the caves. On top of that you can't see as you first enter. I was definitely expecting something much more dangerous, which is what was creeping me out the most. Once I discovered what the creatures were though it was just another cave to me.
Oh and yes, I explored the Dunwich Building multiple times in Fallout 3 and you're right. It was extremely creepy every time. There was something supernatural going on in there. As for Vault 34, I was more worried than frightened. The only thing that tends to frighten me is not knowing what to expect around the next corner, which is why the Dunwich Building and the parts leading up to my discovery of what was in the Camp Guardian Caves creeped me out so much.
Edit: I also play with a Turtle Beach headset so that kinda adds to it. Hearing noises all around but not seeing what it is.