As a kid I found the Borg pretty scary - esp. on VOY & First contact.
Not any specific scene or episode. But the general concept, of this overwhelming, massive entity, that wants to assimilate you for your experience and knowledge, and that, despite the body horror, people who once where assimilated still are attracted to the collective, like flies towards a lamp. And the pure futility of all these civilisations trying to resist, but unable to. That the Borg are not evil, there's no malice, or anger, just this horrific, uncaring drive to assimilate.
Very Lovecraftian.