Fallout isn't supposed to be creepy but still a couple things come to mind.
Fallout: The first time I ever went to the Glow. Confronting the Master for the first time.
Fallout 2: The first time I ever went to the "Ghost Farm."
Fallout Tactics: Well there isn't really anything creepy about it.
Fallout 3: The hallucinations of James
Fallout New Vegas: Would be the some of the feral ghouls at camp search light speaking and using weapons. Also walking around the wasteland at night and seeing a glowing ghoul in the distance, and then noticing a bunch of others all round me.
Really? Never really found Ghost Farm/inhabitants creepy before or after. Interest sure.
I guess I can see it. Really it got to me early on FO 2 was full of gags and references and pop culture stuff I really didn't know/didn't like so I was expecting GF's conclusion once you investigated.
FO1 Children did however perturb me, even more than Richard Grey.
3 attempted to inject sort of a hellish, even survival horror vibe perhaps like S.T.A.L.K.E.R. and in that end more so than MCA's Dead Money succeeded.
But it was mostly creepy atmosphere at times than scary (Although the first few times ghouls in the tunnels did genuinly scare me once they rushed at you in the dark)
We shall not speak of PS2's Brotherhood of Steel.
I don't remember Tactics well enough. Don't think there was anything...
New Vegas neither although some of Morgan's tracks did send a chill.