For me it's the Higurashi when they cry series

I don't think I can be properly scared by a movie these days but the best "scary" scenes in anime that made me feel uneasy were in Mieruko-chan, even though it's only a comedy show with some horror mixed in. Some scenes from from the first season of The Promised Neverland may also fit the bill

I don't watch a lot of horror, but the slow building tension in Shiki got me pretty good when I watched it a decade ago

The last part (or two parts?) of the Vampire Princess Miyu OAV when I first saw it ~30 years ago. Of course, it probably didn't help that I was watching it at weird o'clock in the morning.

I don't think any anime was scary in the sense that it made me scream or anything. There are disturbing ones though, one of the most known one being Higurashi: When They Cry.