the only place that I know of is in Fallout 3 called the dunwich building which there are self throwing coffee pots and self opening doors, oh and a very berry large population of feral ghouls, and in new vegas the presidential suite in the lucky 38 if you turn the radio station off and have background music to full it has a very creepy music
Also you have the Dead Wind Cavern. If you sneak, you can hear them... snorting...
I never played Fallout 1 or 2, but when I first played Fallout 3 I remember having nothing but a 10mm pistol and a vault jumpsuit with me when I left the vault. I was curious as to all the places around the wasteland and the only enemies I'd seen were bloatflies and molerats. I wanted to explore before I went to Megaton so I wandered east and found the Super-Duper Mart. I don't know why, but there were no raiders outside that time, so I assumed it was a safe place. I went inside so see a large dark, foggy building cluttered with destroyed grocery isles and shopping carts, with the eerie background music playing. There were dead bodies hanging from hooks off the ceiling and mutilated people lying around. Also, I could see silhouettes walking around in the darkness. I prefer to sneak around in that game, so I wanted to be very quiet when I explored. You can imagine how scared I was when I knocked into a shopping cart and my [HIDDEN] status when to [CAUTION]. I ended up trying to get out of there as soon as I could. To make a long story short, if you play the game without a companion, without the radio playing, and without running in and just slaughtering everything in the room, you realise how creepy the game actually is. (I also remember the first time I ran into a super-mutant in the subway tunnels. I freaked out)
I'm a coward so I thought that Vault 87 was creepy. When you're alone, and you're sick of listening to 3-Dog repeat himself so you turn off the radio, it's kind of scary. Especially when you're trying to remain hidden. Sometimes you hear a Super Mutant looking for you and you have, like, 1 ammo in your gun. That freaks me out. PS. Especially the room with the failed FEV experiments.
Fallout 3 Point Lookout has some creepy places. Some of the redneck shacks are creepy. Also, the satanic ritual site underground is kind of screwed up. Then there's a morgue at Turtledove Detention Centre. I remember finding a tunnel there and being stuck in there while creatures looked for me outside. Theres also the haunted mine, but I didn't find it all that creepy. Then theres the motel rooms and the old amusement park which you find early on. Grower's Shack, the town full of killer demented hillbillies, the Coastal Grotto full of ghouls who pour out at you, the underground lab with the giant brain... I could go on.
Fallout 3 was WAY creepier than New Vegas. Some of the office buildings in downtown DC and the warehouses full of raiders can really get to you if you're a low level. I found the Museum of National History to get a bit creepy with all the ghouls, and the Super-Mutant infested Museum of Technology ais scary if you enter it early on during Three-Dogs radio dish quest.
Dunwich Building, and Every Cavern in New Vegas. Also, any encounter with a Cazador can become scary if you have a fear of insects like me.
Any subway tunnel in Fallout 3. Fun to explore, but scary when you're fumbling around in the dark. Also the mirelurk habitat underneath Anchorage memorial. They can cripple your limbs in one hit. Not to mention trying to escape a mirelurk hunter.
Old Olney in Fallout 3. Also, the Deathclaw Sanctuary. It's the Fallout 3 equivalent of Dead Wind Cavern.
Vault 22 in Fallout New Vegas. Not only are the signs saying 'The plants will kill you' a put off already, but it gives you a shock when you're walking through a patch of vegetation in the vault and all of a sudden one of those Spore Carriers jump out at you from the ground.
In my opinion, the Dunwich building wins. It was THE SINGLE CREEPIEST place in the entire Capital Wasteland, especially when you go in there to explore and end up running out of there.
Fallout New Vegas: Vault 34 and 11. I went into 34 with Veronica, looking for a mothercluckin' pulse gun. Almost drowned, out of ammo with a ghoul vault security guard i only had a straight razor with 10% condition. One hit and it broke then Veronica power fists him in tha face. I found tha pulse gun then the quest got glitched and i found it 4 nothing. Vault 11 tells a weird story. I dressed Boone in a lab coat and party hat with sunglasses so i dont get heart attack lol...
As much as i'll rag on some of the lesser quality writing in Fallout 3, I gotta admit, Dunwich Borers was brilliant, especially if you didn't know what ghouls were and allowed yourself to get all immersed in its story- which was brilliant, and entirely based on the player exploring things. Try playing the audio logs while exploring- hella creepy. I love love love Vault 11 too, it's creepy because it's all so plausible, and like the Dunwich building its entirely up to the player to get involved in its back-story, which is something I love.
Yep, something Fallout 3 did clearly better than New Vegas were the scary locations. Fallout is not a horror game and not really scary but I like it how I'm playing an open world RPG that generally has a happy 50s feel with a twist of black humor and hundreds of locations to explore and suddenly I find myself in an old dark creepy building with strange noises and eerie atmosphere. Knowing that someone or something that wants to harm you is in the building but you won't know what it is unless you explore deeper. These kind of situations work so well in a game where you can go wherever you want and don't expect to run into scary places in the first place. And after a bit of exploring you sometimes find out that it's just another twist of black humor...
As for the scary places... Well, pretty much everything has been said already. Dead Money got some moments in the beginning and then there's The Pitt for Fallout 3. Trogs made me jump a couple of times because they are so damn silent. Not really scary though. Same thing with Cazadors in New Vegas. All vaults are pretty scary too if you find out what has happened there and bother to read all the terminals.
Found Dead Money to be creepy, especially when you play all alone at midnight or so. Scared !@#$-less when few of those residents ganged on me.
A couple places I found creepy that aren't mentioned were in Fallout 3, vaults 108 and 106. 106 you have hallucinations of your dad, and the overseer, more from your childhood. And in vault 106 all that's in there is clones, all the same guy named Gary. And you'll hear them Creeping around all they say is "Garyyy". I found these pretty creepy, and the Dunwich building at the lowest level. Point lookout when you go to the magical Tree too is kind of creepy also.