Gackt � Always a good one for scaring small children, we recommend such songs as U+K, Wasurenai Kara and Vanilla.
D[di:] � The waling on Angel Meat Pie is enough to put anyone off Japan for the rest of their lives. Same with Kana, try Kuuchuu Buranko for some fantabulous screeching and fear-striking pandas.
Shazna � Melty Love. The title alone is enough to make us squeal.
Psycho le Cemu � Romanhikou. You really need to watch the PV of this one for the ultimate scare factor.
Alternatively, if you do want actual scary music try Malice Mizer, Bara no seido.