The Usbourne books were pretty lurid, and probably started me off on a Fortean path (see posts passim ), but the "unexplained" book that really gave me the squits was a book from the library on UFOs by F.W. Holliday (not sure of the title, it might just have been "Flying Saucers"). The section that really got to me was about Bender and the Men In Black, especially the description of how he awoke one night to see one of them standing at his bedside, and the description of their "glowing" eyes, along with general scary and menacing behaviour. Heavy stuff when you're eight years old!
From the kiddies' fiction section in the same library came a book called "The Giant Under The Snow", which I can't recall clearly, except for the fact that it scared me witless around the same time. From what I remember of the plot, some children get involved with the resurrection of an undead warrior chief / sorcerer, and a witch who seems to be the only person who can stop it happening. The undead's minions are horrid spindly shadowy creatures known as "leathermen", and I can remember some passages with these in that really gave me the creeps. The giant of the title is a hill-figure outside the town that the book is set in, which saves the day by coming alive and eating the undead! At the end of the book there's reference to an archeolgical dig uncovering a huge shattered skeleton in the giant's mouth area.
Phew, gone on a bit, but I'd love more info on this book if anyone else has got a copy, or can even tell me who wrote it or if it's still in print!