For me: Phantasms is the best creepy episode overall. Not only the nightmare stuff but also the entire slow build-up, Data getting ever more obsessed with his own dreams and finally getting unhinged (or so it seems at the time) when he stabs Deanna. (Schisms is pretty creepy as well, but only in parts. Conspiracy never did it for me, too over-the top.)
Best creepy scene though in my book is one from Night Terrors, where Beverly conducts an autopsy, thinks she hears a sound, looks around her and suddenly all the bodies are sitting up, camera zooms in on her, Beverly shivers and says "go away", and next the zoom out we see everything is back to normal again. So simple, yet so effective.