To start, whenever a large monster in the area sights you, a Scare Chord plays. Woe betide you if the monster is right behind you and you didn't expect it. It's a Jump Scare both out-of and In-Universe, because unless you have certain food buffs, your character flinches.
The Royal Ludroth's glowing yellow eyes underwater. Imagine that in place of Jaws...
In Tri, one of the stages of the Tundra is an ice cave. The floor of the ice cave is transparent ice, which underneath can be seen thousands of bones. These caves also tend to be the dwelling areas of the Gigginox, who in and of themselves are a nightmare.
Speaking of the Gigginox, the Khezu is horrifying. That sniffing...
To go into specifics, both are gurgling, worm like creatures that live in darkness. They both exhibit weird sounds, and they tend to appear when you're fighting other monsters. If the other entries haven't taught you to fear the dark, try seeking one out.
In Tri (but not Tri Ultimate and Portable 3rd), the caves in Tundra areas 4 and 5 are pitch-black due to a lack of light. All you can see of the Gigginox are its bioluminescent patches. Sweet dreams.
The Diablos gives a good Jump Scare whenever it erupts from the sand, and then screeches at full volume.
Any time an environment is unstable. Any of the already mentioned monsters could appear when you least wanted it, and quite a few players have been introduced to the Gigginox this way...
Rage Mode, especially for the Deviljho.
Quite a few of the Ecologies fit into this. For example...
The afore mentioned Khezu dragging a Kelbi to it's doom.
The Daimyo Hermitaur and the decapitated Monoblos on it's back.
The Gobul swallowing whole an entire school of fish, which simply disappear in a flash, before attacking and swallowing whole a cow-sized Epioth.
The Plesioth attacking an Aptonoth trying to get a drink, dragging it into the water with it making but a token effort to escape its doom.
The Gigginox vomiting up its young complete with high pitched gurgling. Lovely.
One of the new monsters in Monster Hunter 4 is a giant scorpion/earwig creature, which snatches a smaller monster with no prior warning... and then fuses with it.
The Deviljho, originating from Tri, is the personification of this. You could just be walking around on any assigned High Rank mission, and then BOOM. Deviljho incoming, and all you can think about is getting out of there as quickly as possible. Then there's the Savage Deviljho, providing the page image... *shudder*
To further add to this, the "Everyone So Big-Big!" cinematic contains all sorts of monsters. As Cha-Cha walks along, they all sit tight (except for a Giggi) but then he reaches the end and the Deviljho starts chasing him and the hunter.'
A rare occurrence is when a Deviljho moves into the area you're in JUST as you are walking into the stage boundary. You're not expecting anything and then OH MY GOD THERE'S A GIANT FREAKING DINOSAUR RIGHT IN FRONT OF ME. And of course it plays the Scare Chord of a monster noticing you. Watch out, Slender Man... there's a new Jump Scarer in town.
The Gigginox (mentioned above) can reproduce by itself and produce hundreds of baby Giggi in one day, take a second to think what would happen if even one days worth of baby Giggi survived into adulthood, all producing more and more baby Giggi.
The Giggi themselves are pretty creepy, having no eyes and a gaping mouth with More Teeth than the Osmond Family. They can latch on to you, sapping your HP until you roll them off.
The new flagship monster for Monster Hunter 4 is the Goa Magara, which is essentially a Gigginox, but worse. Take the Gigginox, paint it black, give it an insect-like exoskeleton, make it an Elder Dragon, and give it the ability to start a Zombie Apocalypse simply by having a hunter or another monster touch it or the hair and scales it leaves behind. The end result looks a lot like a Xenomorph. It's theme music isn't that bad, but its "noticed you" Scare Chord is absolutely terrifying. Oh, and the worst part? It's only in its juvenile form. There's an adult version of it later in the game, which is even even more fun.
The Yama Tsukami is also a little creepy with it looking like a floating Cthulhu head, fortunately it's peaceful in-universe except when approached by hunters.
Endgame monsters like Akantor can be pretty scary the first time you fight them, with attacks that can easily OHKO you, being larger than any monster you fought up to that point, and most of the areas you fight them in, you can't get back to the camp once you enter it.