This is going to sound stupid as hell, but... Skeevers tend to scare the bejeesus out of me. I know they aren't hard to kill, but they scamper up out of nowhere and give me ataxia. Creepy little buggers.
... I'm a big baby, I know.
That happens to me too, scares the hell out of me. Like when you're walking and you turn around just as it leaps and get a skeever to the face. But also the sabre cats who sneak up on you.
Though I find Skyrim less scary than Oblivion, I only traveled at day time in Oblivion because I kept getting attacked at night in the forests, the music would happen when in a fight and you had no idea where it was, so you start jumping trying to find a rock to stand on. I would only travel during the day in skyrim for like a month before I got used to walking around at night.
I also was scared of the ghosts in Oblivion with their heavy breathing then screeching when they spot you.
I was scared of the dark brotherhoods door, ever since Oblivion I have hated that door, when moving through a dark abandoned house to a heavy breathing door with a creepy voice.
