We as a people have erected many buildings. Humans have done a lot more in terms of structural significance than those lazy-ass lions or beavers (maybe try a skyscraper instead of a dam?) and for every Empire State Building or Great Pyramid or... Gherkin, something will be created that leaves onlookers with a sense of horror.
Occasionally in an effort to not only house and protect but also to inspire, architects sometimes fall short and leave observers baffled, alienated, and somewhat unnerved by buildings and monuments. We're going to be really shallow here and only concern ourselves what what's on the outside, as sinister interiors are a whole other can of worrisome worms (as a freebie do have a quick search for Otranto Cathedral and be prepared for some nightmares).
Shallowness aside, it must be stated that just because a building appears ominous on the outside doesn't mean it houses some sinister action or work of malevolence. In fact many serve innocent functions and most are actually architectural marvels – just that on first impression there is definitely something creepy about them.