No comics really scared me, but From Hell was definately something else. Gotta Love Moores style and how he can creep the f@#k out of you with very little shown or written simply by letting you imagine the whole scene in your mind. 
 
Very cool stuff. 
 
Animal mans comic was for me something totally different and it had some uber creepy issues specially the first few issues very WOW.

Some issues of Moon Knight scared me when you really got a look inside Marc's head and saw how insane he was.

 just watched Goldie die in fables. that was freaky.

i was not scared just disgusted in brightest day 2 when that women killed her family then ripped of her skin  

It didn't scare me, so much as disturb me... but I'd say the part in Arkham Asylum when you realise that Arkham's mother is eating bugs.

The Manga adaptation of Battle Royale has a 7 chapter fight between Hiroki Sugimura and Kazuo Kiriyama which is one of the most brutal fights I have ever seen in a Comic or Manga and is the only time I have ever been made to feel sick from something I read.

I prefer more of the psychological aspects of horror, which is probably why I prefer movies like The Shining and Excorcist, which build and build the tension throughout the movie.
 
That being said, and more on topic, I thought that Arkham Asylum fit the bill on both issues.  It was able to immediately shock you and build up a vive of "Something is very wrong here".
 
Strangely enough, haven't gotten to From Hell yet, will have to do that.

777 the wrath scared me lol
 
My mom banned me from reading it.

" How so? You mean their behavioral actions? "

" I prefer more of the psychological aspects of horror, which is probably why I prefer movies like The Shining and Excorcist, which build and build the tension throughout the movie.  That being said, and more on topic, I thought that Arkham Asylum fit the bill on both issues.  It was able to immediately shock you and build up a vive of "Something is very wrong here". 

Nothing, really.