Ruins of Alph used to creep me out as a child. Maybe it was the general atmosphere of the place. The Unown radio signal still unnerves me, though, probably because it sounds like Azathoth's heartbeat..
Also, the Arceus Creation scene music. Again with the Unown! What is up with them?
"...did you call me idiotic in the middle of an argument among grown adults about Doctor Who's sex life? Honestly!!" - Steven Moffat, Feb 12 1996
Pokémon Tower, Mt. Pyre, and Citadark Island are worth a mention. The former two are quite spooky compositions, and the Citadark Island tune is quite foreboding--now THAT is a complex dungeon, complete with music that might give you shivers!
I am a die hard Pokémon fan to the most, including the traditional hate of Yu-Gi-Oh.