when those hooded things kill the hobbits by stabbing them in their beds
although every part after that is kinda scary, what with the hobbits all being zombies
That part scared me really bad when I first saw the movie. Id never read the books and didnt know that it was just a trick, so it freaked me out. But other than that, nothing in the movies have really scared me.
One little scene that always got to me was in... was it in FotR?- was at Rivendell, when Bilbo starts spazzing when he asks for the ring. His sudden change into Gollum-like facial features was quite disconcerting.