I second Bathilda Bagshot from Deathly Hallows part 1. She looks like she could be the witch in Hansel and Gretel, and is offsetting even before you know the secret that lies inside of her.
I find the maze in Goblet of Fire creepy, especially in the book because there are boggarts hidden in there, so you can literally see your worst fears.
Another favorite of mine is the cave scene in Half Blood Prince. The whole atmosphere is eerie, then when the inferi come out of the water it ratchets up to terror.
I want to mention one more thing. While Voldemort has a great design in the films that is even better than the books with the missing nose and ghostly skin, I think Tom Riddle is in a way more unnerving to witness because he can go from looking like a cute boy to subtly and suddenly very dangerous like when he's asking Slughorn what a horcrux is. There's so much subtext there. You know he knows exactly what it is. You know he's already made one, and he might use you to make the next one if you don't keep your mouth shut Sluggie.
If you dig deeper into the potter verse and read some of Rowling's short stories and essays you'll find even creepier content about the Wizarding world that isn't in the books or movies. For instance the origin of Azkaban prison is a very dark and disturbing story involving the crazy wizard Ekrizdis.
What can happen to bad wizards who perform patronus charms is a grotesque and scary fate too. Ever read about Raczidian?
The Warlock's Hairy Heart is a really scary horror entry from the Tales of Beadle the Bard.
