Rasputin's death is probably the scariest I've heard, because it's real.
Rasputin was involved with politics in Russia in the early 20th century, but he was ruining the country, and a lot of people wanted him dead, so there were several assassination attempts. In 1916, a prostitute put a knife in his stomach and pulled some of his entrails out. He suffered severely, but lived.
Two years later, a group of people were fed up with him, and decided to kill him once and for all. They invited him to a party, giving him cakes and wine laced with poison. According to the autopsy, he consumed enough poison to kill five people. He didn't die. Frightened, they shot him. They assumed him dead, and left. However, one man had forgotten his coat, and went back downstairs, only to find that Rasputin was struggling to get back up. The men all came back down and shot him three more times. He was still crawling around. They beat him savagely, and then rolled him up in a carpet, and threw him into an icy river. The next day when they found his body, he had gotten out of the carpet and his lungs were full of water, which meant he drowned, as opposed to dying from the beating or from hypothermia.
They really hated this guy, so they burned his body. However, any mortician will tell you that you must cut the tendons before burning a body, because tendons shrink under extreme heat. These people didn't know that, and just threw him on. After laying in the fire for a while, the heat took it's course, the tendons in his legs shrank, and he sat up. Of course, at this point, he was dead, and it was just his body reacting to the fire. Even still, I'm sure everyone at the burning shat their pants and sprinted away.
He was a creepy mother fucker.