I don't really know if there is any one place in an FF game that creeps me out. Perhaps the Forgotten Capital in FFVII (City of Ancients?) because of its music, and it just feels so sterile. But it's not just that, some games have ghost towns of ancient civilizations of one type or another, but for some reason this particular version comes off like it was literally sterilized by someone or something, like the area heated up and all that was left outside the shell structures is ash and dust. A place where nothing will ever, EVER grow again. Even the coral-like growths seem dead.

Outside of that most of Vagrant Stories dungeons were pretty creepy.

If I was allowed to pick outside of FF worlds period I would pick any of the darkened flickering hallways in Doom. I still can't play through that, I think I watched my dad play it too many times and it is forever burned into the fear centers of my brain.