Well, if you ask my adventurer (who was a nine-foot-tall dragon-human hybrid with greatly pumped up stats), it's apparently lions, since he has been killed by them about seven times.
If you ask my current fortress' worth of dwarves, apparently it is crundles. A small band of about seven of the little punks decided to come up my staircase and investigate the cage traps I'd set up while exploring into the caverns. One fell into a trap, and I was annoyed by it so I told someone to throw it into the pit so I could watch it explode from the 13-z-level drop I had conveniently opened up off the staircase.
The crundly buddies decided that would be the perfect moment to come check out what was going on, in the process terrorizing the dwarf who'd come to throw the thing out, who ran away madly and led the rest of the little jerks back up into the craft hall so they could chase haulers around between workshops.
Somehow a dog ended up dead, a dwarf fell down the stairs and broke his head open at the bottom, and I completely lost my military somewhere in all the twisting caverns because they were chasing crundles up and down ledges all over the place. Also, a giant olm wandered into a cage trap. That was about when I lost it and just started laughing.
As far as critters which I find scary, well, I often have a hard time importing the critters into real life to imagine how I'd really react to them. If I actually encountered a hoard of zombie trogs I would probably run around screaming until I passed out and got eaten. But in the game they're just an annoyance.
And most of the crazier ones make me say "I want that" and put cage traps everywhere.