Imperial City Prison, definitely. That place is amazing. Full props to the designers for making it quite so utterly squishy and spiky and horrific.
Crypt of Hearts is creepy, the first few times anyway. By the time you're running Vet Crypt of Hearts in 20 minutes you don't really think about it any more.
Some of the Craglorn content. Tombs of the Na-Totambu. Mtharnaz. Shada's Tear (especially the final part of it with all the spiders!).
Lipsand Tarn in Cyrodiil is creepy and full of vampires.
There are a lot of delves in the main Alliance areas which are creepy, but I'd have to think for a while to come up with a list. Some of them are set in graveyards or underground tombs.
Guildmaster of the UESP Guild on the North American PC/Mac Server 2200+ CP & also found on the European PC/Mac Server 1700+ CP
These characters are on both servers:
Alix de Feu - Breton Templar Healer level 50
Brings-His-Own-Forest - Argonian Warden Healer level 50
Hrodulf Bearpaw - Nord Warden Bear Friend & identical twin of Bjornolfr level 50
Jadisa al-Belkarth - Redguard Arcanist looking for a role