shiverburn figures
when I first got the game I think I was nine I did not have internet connection and discovered them by myself and that gave me nightmares for a month
In Pedal Power and Ghost Guess from Mario Party 1 where you have to win the minigame or get eaten by a Giant Boo/Group of Boos. The fact that the music in both is based on Ice Land from SMB3 also adds to the creepiness.
Another moment is the whole Tubba Blubba scenario in Paper Mario, him having his heart removed in order to be invincible, then eating the boos out of revenge from being harassed by them, and then eventually getting chased by him. (Although that was also thrilling).