For me, the sixth house bases mostly. I just started playing morrowind again with a new char, but even now after so many years, I still try to avoid sixth house bases as much as possible.
I still remember this time when I was in Vivec, lost as usual, trying to find a place to sleep I eventually found a bedroll somewhere in a dark, quiet place. My sleep was interrupted and I got a message like "You were awaken by a loud noise" or something, and the combat music started playing. I was like ... "Should I press OK or not?". I was scared as hell and my heart was pounding strongly. I turned on all the lights then proceeded to press OK. I look around only to find a faceless figure (An ash zombie) standing on a barrel and bashing my face. My heart almost came out of my throat that day
. That was years ago though, things like this don't scare me anymore.
As for Oblivion, meeting zombies for the first time was a disturbing experience. And I agree, the anvil lighthouse cellar was creepy.