For me, I think the best was in a Dean R. Koontz book. It was about a family of people with special powers, but one brother who was exceptionally "gifted" that way and really abused it. I'm a bit rusty on the specifics, but what has "stuck" with me is the bizarre nature of the attack where this guy could essentially just get inside you and make you go all "wrong".
For more realistic creepiness (stuff that could actually happen) I like the Caleb Carr stories of old New York. The scenes of the killer coming after the little friend of the doctor... Great stuff.
But then, I don't read a lot of horror--I don't like to be scared.
One of the most memorable shocks I ever received in a story was in TIGANA by Guy Gavriel Kay. He starts the book with a prologue that shows a prince in a scene several years before the main body of the novel. The shock came near the end of the book, when I realized what had happened to the prince. Horrific! And all very carefully set up and prepared for.
Her lover found where she had been locked away and the two planned her escape. But the girl was weak willed and told the evil stepmother/witch about the plan.
So the evil witch cut off the girl's hair and when the lover/prince came back to rescue her, he called out:
"Repunzel, Repunzel, let down your long hair."
The witch dropped the hair and the lover climbed it until about halfway, when either the witch dropped the rope, or he saw her and jumped off (I forget).
ANYWAY, the creepy part was that after he fell from the tower, he landed in a thicket of thorns which tore his eyes out and he was blinded.
Ever since then, I've had a real problem with thorny bushes and falling.
Sure, childhood fairy stories are all fun and games until someone loses an eye.
To be honest, that always creeped me out too. I think that eyes getting poked out is one of those things that we all find pretty creepy.