The Elvenking by J.W. Goethe is probably one of the creepiest stories of Western literature. I remembered it while driving through a German forest at night, high in the mountains:)
There has been some discussion in comments whether the King of Elves only symbolises Death or there is a darker meaning. Personally I believe there is, considering that the author created his own version of an old Nordic legend which told the story of a mortal man tempted by an elf-maid who stabs him when he refuses her sexual advances, but you can read the poem for yourself and then decide.
It's amazing how J.R.R. Tolkien managed to turn elves into positive characters, isn't it now?