A few Fortean experiences but only two were frightening, hard to say which was more so, so here are both!
About twenty years ago I worked in an old Library in South London. Now totally inadequate for current use - try getting decent IT facilities into a building that was completed before we had achieved powered flight.
One late winter afternoon so kind local had lobbed a rock through a window; so at closing time I sent everyone home and remained to await the arrival of the emergency services team who would board the thing up. No one could get in without further, noisy damage but it was not secure to leave it overnight. The staff had locked everything which they did very thoroughly after once finding a local "yoof" had crammed himself into the book lift one evening in hope of ransacking the place after we'd left! My office was upstairs in a T shaped corridor with other rooms off, all doors to these rooms were locked. The only thing open was the corridor to the stairs and a downstairs corridor leading to the staff access where the glazier had been told to ring the bell for access.
I set about doing some work on my PC, after about 15 minutes one of the doors in the corridor slammed. I couldn't say which one , but the noise was very distinctive. I assumed that the cleaner had decided to come in in the evening, as she sometimes did, rather than early in the morning. Not wanting to alarm her, as she wouldn't expect me to be there I called out to her - no answer. I went out into the corridor, all the doors were shut so I checked them, all still locked. It was while checking them that I got really spooked I couldn't stop looking over my shoulder. In the end I packed my stuff up and decided to move downstairs when the glazier arrived.
I had been on my own in plenty of our building that had stories attached to them, but never had that feeling of fear. I mentioned it to the previous manager of the building a while later (one of the most rational skeptics I know) To my surprise he said - Oh yes, there's something very nasty in that corridor and on the equivalent space on the ground floor.
On another occasion, driving home I took a detour as the main roads were snarled up. The detour while within the M25 goes down some narrow, quite rural lanes which come down off the North Downs toward North Kent where I live. It was Autumn, about 7.30 p.m. and dark. In the trees by the side of the road I saw what I originally took to be a Barn Owl flying along.
I stopped the car to get a closer look (No cars anywhere around). It didn't look right, too geometric, more like two white sticks scissoring through the trees. I wondered whether it might be torchlight illuminating the branches, but if so it managed only to illuminate two at a time, rather odd in a densely wooded area.
I decided to get out for a better look and checked the road again, about 50 yards in front of me there was a person sized patch of mist moving toward me up the hill. Now the night was turning misty, but this was a very local and isolated patch. The "Barn Owl" had vanished when I looked back. I had got my seat belt off and the door open when something told me to go, and the curiosity turned to something more like panic. I went. No choice but to drive through the mist which I did.
Probably no more than mist and a Barn Owl so I can't explain the panic. Still regret not having stayed for a better look.