There have been a few great scenes in American Horror Story that I can remember.
In the first episode, towards the end where Violet bring down her school bully into the basement to meet Tate. Now that is some freaky stuff right there, and very well filmed. I dont want to ruin anything for people who may not have seen it (and if you havent, I recommend doing so!), so thats all I can really say.
Actually, thinking back on that show, its hard to explain any of the more frightening/sick scenes without spoiling the story haha. But another thing that stands out was the flashbacks to the mad doctor (cant remember the time frame it puts his story in) and his experiments. Not really 'scary' but the thoughts of what he might actually be doing from the hints the show gives you are really messed up. Gotta love that kind of psycological horror!
The River has some great moment in it, too. Again, I cant say much without spoiling the story, but the last 15 minutes of the second episode are unreal! After it builds it all up with the telling of ancient legends, and then quickly unravels the suspense in a short time frame, its very edge-of-your-seat material.