Azog the Defiler. He's basically Lurtz' precursor... But more vicious.
Azog's prosthetic hand, which is attached by impaling a spike lengthwise through the stump of his forearm.
Gollum's eyes, and the way they seem to glow eerily (with an almost Prophet Eyes effect). Not to mention his entrance — killing a wounded goblin and dragging it off to his cave to be skinned and eaten. Brrr.
Speaking of that goblin, it's unnerving that Sting's glow goes out at the exact moment the Goblin stops moving. Bilbo's realization (along with the audience's) doesn't help.
Becomes even more unnerving when we see Gollum right above an unaware Bilbo.
Best illustrated when he's waiting for Bilbo's final riddle:
(gently) Ask us... (much more viciously) Ask us!
And during the aforementioned bashing? He's singing a lovely little song.
The cold hard lands, they bites our hands, they gnaws our feet! The rocks and stones, are like old bones, all bare of meat! Cold as death, they have no breath, it's good to eat!
And then, near the end of the the game of riddles, Bilbo is distracted by the sound of a bat flying by. When he turns back, Gollum is gone. Then he speaks his riddle in a hauntingly menacing way - his raspy voice echoing off the walls, coming from seemingly everywhere and nowhere at once - and when Bilbo doesn't figure it out right away, he taunts him in as creepy a way as possible.
When he realizes Bilbo has the Ring. His face contorts into this deranged murderous rage of a desperate junkie who'd stab a guy to get his fix. When he whispers "He stole it," both Bilbo and the audience know that there's no reasoning with him anymore.
The Ring itself. If you've watched the original trilogy, it's scary enough. If you haven't, it's still pretty creepy in how off it is, and the way it seems to move itself at times. If you thought you couldn't do Uncanny Valley with a ring, you'd be wrong.
Perhaps the largest moment of this is when Bilbo first wears the Ring. It flies into the air as Bilbo falls, he himself half-reaching towards it. It almost looks as if it is going to fall past him to the ground, only for it to suddenly jerk back towards him and fall upon his finger with an attraction that looks vaguely magnetic. The whole thing is ambiguous, and makes the Ring seem almost...alive in a way that the LoTR trilogy never does.
The glimpses we get of Smaug, while whetting the appetite for the next movie, are nonetheless rather horrific.
The ending scene is a prime example of Nothing Is Scarier. The moment we see the inside of the mountain again, you just know he's there somewhere, but all you see is gold... until Smaug snorts, gold pouring down from his buried form. That's right: Smaug, a giant dragon larger than castles, was so well hidden and quiet that you wouldn't have known he was there until too late.
Azog throwing Thrór's decapitated head at Thorin's feet during the Battle of Azanulbizar.
The Wargs. Imagine hearing a howling sound all of a sudden and dozens of those beasts chasing after you with their demonic eyes and fangs. Especially Azog's white haired one.
There's also the fact that while trying to get at the Company near the end (who are up in the trees), they tear, claw and bite branches thicker than men's arms off with little effort, and their combined efforts were enough to uproot nearly ALL of the trees.
The giants. They appear to be made out of rock, blend perfectly well with the surrounding mountains, and fight each other by punching and throwing chunks of the mountain at one another. For Bilbo and the dwarves, it's like being caught in a horrible landslide or an earthquake, with a storm raging to boot.
For those who are acrophobic, being in Ori and Dori's position before they're rescued by the eagles. They're hanging on by only Gandalf's staff, and eventually slip and start falling before the eagle catches him.
There also the more subtle idea that Sauron was barely beaten in the War of the Ring, imagine Gandalf's fear of what the Dark Lord could do if he could persuade Smaug to ally with him. In short, nothing could stop him.
The Desolation of Smaug
From the exclusive clip Peter Jackson released of the next movie. Gandalf is searching through an old tomb. The tomb consists of a narrow crumbling walkway that's barely two feet wide, suspended over a ten story drop, which is great if you're afraid of heights. We see that there are nine tombs and they have all been violently opened. Gandalf realizes that nothing broke into the tombs. Something broke out.
From the trailers, we have Smaug's head slowly coming around the corner, looking directly at Bilbo. It's our first look at the dragon, and it's terrifying.
Smaug speaking at the end of the second trailer. That Benedict Cumberbatch delivers a truly chilling performance worthy of the dragon is evident with just a few lines. Bonus points for having his voice, which is plenty deep on its own, somewhat altered to the point that it sounds downright demonic.
Far from being bumbling and slow witted like in the Peter Jackson film, the trio of trolls are actually cunning and intelligent, as they instantly pick up on the fact that if Bilbo was there, then he'd have company. Heavily implied with their last conversation, they had a pretty good idea of what they were cooking and just arguing about the method, the worst being eaten "raw". Only by Gandalf's intervention, that the company was spared.
Gollum, both in appearance and Brother Theodore's voice work. Until Andy Serkis came along and made the character his own, he was the definitive Gollum, and some fans say still the creepiest.
The goblins' first appearance when they appear to be getting closer and closer in the dark.
The "Riddles in the Dark" music.
It cannot be seen, cannot be felt, cannot be heard, cannot be smelt, it lies behind stars and under hills, and empty holes it fills, it comes first and follows after, ends life, kills laughter. The answer is dark. The dark. Dark...
The spiders of Mirky Wood are bat faced Ax-Crazy fiends that cocoon and then eat their victims alive, especially creepy with their big blue, pupil-less eyes.
While Smaug's appearance is silly, when he goes berserk, he is quite frightening for sure!