Hmmm.
Try the following

Liszt Hungarian Rhapsody No. 3
Liszt Funeral Prelude & Funeral March
Liszt La Lugubre Gondola No. 1 &2
Liszt Schlaflos! Frage und Antwort
Liszt Unstern! Sinistre, Disastro
Debussy: Élégie (1915)
Ravel Le Gibet
... Scriabin.... That's all
Satie Vexations
Bartok - Three Etudes op. 18
And I am surprised no one brought up Ligeti - Requiem (1965) and
György Ligeti: Lux Aeterna.
I am now listening to Penderecki: "Dimensions of Time and Silence" and this probably wins the creepiest music.