Super Mario 64: For three reasons, first of that giant eel thing in the first underwater course you play in. Being a kid that thing first scared the shit out of me just seeing it's head poking out of the ship, then shit got real and it started to swim out and you as it in its whole size.
Secondly, the hunted mansion course, which I guess you could easily guess what got me scared. "Hey look a piano, can I play it perhaps- oh holy shit! fuckfuckfuck!
Thirdly: That water course you go through before having the second show-down with Bowser, why? Well I have always had a fear of the open sea, and mostly because there are Sharks there. I am fucking terrified of sharks.
Any Pokémon game that takes place in the Kanto region: Well that Lavender tune is fucking scary for a small kid, and if you're playing the game for the first time and have no clue that you need the silph scope to actually see the Ghost pokémon in their true form and effortlessly trying to defeat them.
Legend of Zelda Ocarin of Time: Oh so many things that can scare the shit out of you in Ocarina of time. But what scared me most are of course the notorious wall master hands. First time encounter in the forest temple. Navi says something about watching out for monsters in the celling, either you dismiss this warning or don't pay attention because, it fucking Navi you don't really listen to her. You stop for moment ponder on which way to go, when suddenly a round formed shadow starts forming around and it becomes larger very fast and you only have time to fucking "...ooookay" until it's to late and you're clutched in a big black (kinda spider reminiscent) hand dragging you to start of the temple. Leaving you mentally scarred for life.