The scene in Platinum where you sneak into the Team Galactic meeting and see Cyrus rallying his troops to his 'cause' reminds me of old newsreels that showed Hitler's rise to power in Germany before World War 2. Then there's the girl in the middle of the strange house in B/W2 that leaves the Lunar Wing behind, the girl that disappears on the bridge on Route 16 in B/W1, the Old Chateau with the rotom inside the television in D/P/Pl, Lavender Town's tower that's haunted by a dead Marowak in FR/LG, as well as the ghost in X/Y that appears in one building in Lumiose but isn't seen again. Those are the things that creep me out most, other than Mr. Bonding doing his O-Power thing which I never expect.
Added: Also Drowzee and Spiritomb creep me out when they jump out of places like Dream World in Gen. 5. I don't remember how many times I nearly jumped out of my chair at the computer when they popped up that way.