Couple enemies from Morrowind make you REALLY cautious when entering a dungeon. The two are Ash Vampires and greater bonewalkers.
Ash vampires b/c they can one-hit knock you out at lower levels, and even when you are able to stand toe-to-toe with them, they have all sorts of nasty reflection spells and strange curses in their array.
Greater bonewalkers, and I say greater because the lesser ones are no problem at all, but Greater bonewalkers can damage your strength i.e. make you immobile forcing you to drop your heavy items and have to go back and get them later.
sorry for random capitalization
Also, many of Morrowind's enemies were pretty f'in' scary. Take a look here at some of them.