I don't remember exactly where it is on the map, but there is an extensive set of caverns somewhere in Morrowind where (apparently) the Sleepers like to hang out. There were signs of them everywhere down there. I spent most of a night raiding the place, sneaking around corners and feeling genuinely unsettled. It was a bit creepier than most Daedric ruins and abandoned strongholds I had come across.
Scariest game ever:
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