The game can get pretty creepy at times that is for sure. I dreaded the underground tunnels when I was a low level because I was weak and things tend to come out of no where down there. Also, death claws freak me out from time to time. They are a really powerful enemy and they have a long lunge distance, not good when they attack from behind.
The vaults can also be creepy areas, some are worse than others. Especially the one with the cloned guy everywhere (Gary I believe).
Other than that it isn't to bad when, just get a follower and crank up the galaxy radio. But I have yet to play point lookout, so we will see how that goes.....