I get most creeped out by real-life mysteries/unsolved cases. For instance, there's the Taman Shud Case: The 5 Creepiest Unsolved Crimes Nobody Can Explain | Cracked.com

It's worth it to read that entire article, actually.

And no thread about creepy stuff can go without mentioning the Max Headroom broadcast incident. This was some freak who managed to hack into a TV broadcast and well.... just imagine sitting at home watching TV and having this come up: