Murder Ballads by Nick Cave and the Bad Seeds. The whole thing, but especially "Song of Joy" and "The Kindness of Strangers". Of course, if you listen to an album called Murder Ballads NOT expecting to be creeped out, then you probably deserve everything you get.
"Stagger Lee" started off nice, but then near the end, when the lyrics finally kick in and he just starts screaming...
"From Her to Eternity" is deeply unnerving as well. Besides being about a stalker who lives in the apartment underneath that of the woman he's stalking, it's musically chaotic and the disturbing lyrics are mostly slurred.
The unsettling dread of "Red Right Hand" from Let Love In.