One of the most scary things I've ever seen in Pokémon games has to go be that abandoned house in Black 2 and White 2 (it was located in some route, if I remember correctly, but can't recall which). Basically, things inside were more or less a huge mess; picture frames were torn, furniture were placed randomly, and floors were broken. It had various rooms, and once you went into one, furniture would move themselves automatically. Plus, if you were lucky, you'd run into this girl, who speaks some words and suddenly disappear. I'm not sure if you're able to meet her again or not, but I personally wasn't.
Aside from that, I've also found Eterna Forest in Diamond, Pearl, and Platinum to be sort of heart-pumping. It's dark, mysterious, and its music is not something that would make you comfortable, sadly. Honorary mentions go to Distortion World and Lavender Tower.