1. Yamask
What is it: Yamask is another Ghost Pokémon (Game Freak likes to make their Ghost types as scary as possible it seems) from the Unova region. It evolves into a coffin Pokémon, which eats graverobbers and turns them into mummies. That's nothing compared to Yamask though.
Why is it creepy: What can be garnered from the various Pokédex entries on this Pokémon? Well...Yamask actually used to be people. People in the Pokémon world don't get to have a nice afterlife, no, they become Yamask. If that's not something to put the fear of dying into everyone, Yamask retain memories of their past life as a human. So when you're asking it to Shadow Ball a Pikachu, it is remembering a happier time when it had a wife and kids. Pretty bad so far right? There's more. The mask you can see it carrying, is actually the dead person's face that became a Yamask. Sometimes it looks at it and cries. This is actual canon stuff in the Pokédex. So not only does it get sad about the life it no longer has, it also looks at its face, remembers more of its past life and then cries about it. The trainers likely don't notice this, too busy about thinking about raising Yamask's level. Yamask is the most horrifying and creepy Pokémon (or person) in the series. Do you think there are creepier Pokémon? Did you know about them all?