As far as animals in my area, cougars scare me the most. They’re one of the closest wild relatives to domestic cats (like the domestic cat, cougars are part of the “lesser cat” family) so they’re quiet when they hunt. You’ll never see or hear it coming till it pounces on you and bites your throat, crushing your windpipe. Lots of people die this way in Canada every year.
And like domestic cats, cougars sometimes like to torture their prey a bit before killing it... ever see your cat sadistically play with a mouse before killing it? Yeah, cougars will do that to people.
Other than that, the only other local wildlife that scares me is the various poisonous sea creatures in this region. We have Portuguese Man of War (not pleasant), and a type of fish that is poisonous but I forget what it’s called.