I gotta say, I love being creeped out but there were a few parts in Fallout 3 where I was just mumbling to myself "Shit shit shit shit need to get out of here..."
First one was Andale, for obvious reasons. Opening the shed was quite the "Well....fuck" moment.
The Dunwich Building in general was pretty creepy. The sudden flashback when you walk into another part of the building surprised the hell out of me.
Point Lookout in general, even if the main questline was pretty silly. Probably the best expansion they made, especially when compared to awful expansions like The Pitt.
Above all though was the Deathclaw Sanctuary. Can't see for more than a few feet in front of you, even with the flashlight, and after getting all the loot I just wanted to get the fuck out.