It depends what kind of scary you're talking about
I've had a few "scary" bosses in games, but most of these have been bosses where I'm like "How the hell am I supposed to defeat THAT"
I think the biggest example is on Dead Rising, in this game you kill zombies with whatever you can pick up, from lawn chairs to skateboards, it's all pretty fun. Then at overtime, you move into a park and a FREAKING MILITARY APACHE SHOOTS MISSILES AT YOU. A military APACHE, it doesn't sound so bad in most game like call of Duty, but in dead rising you're literally throwing an inflatable ball at a military helicopter, what the hell.
Some of the scariest bosses come from Dead Space and Silent Hill though, that Pyramid Head.