I agree with previous posters that the underground German hospital on Jersey, parts of the Tower of London and Conwy castle made me feel very uncomfortable. Three others:
-Quarrymans Hospital, by Llyn Padarn - an old slate miners' hospital is a fascinating place but, on all my visits, made me feel there was always something otherworldly going on in the next room. And then, nearby, is an enormous flooded quarry. When I was a child, it was an unauthorised diving spot and I always wondered why on earth anyone would want to stay there long enough to strip off and jump in. It just felt like the mountains were closing in on me - and I say that as a real mountain lover. Nowadays, I believe it's a proper dive centre....
-My house fronts a bridleway. This bridleway runs through farmland for 1/4 mile or so before entering woodlands. The farmland part is lovely, as is most of the woodland, but there's a stretch of no more than 100 yards as you enter the woods that I can't bear. It feels wrong and....unkind. The bridleway follows an old path that runs to a Tudor Manor House (still there), which is supposed to be haunted by two of Henry VIII's wives - and I expect I've been thoroughly subconsciously indoctrinated by the various local ghostly tales.
-This last one generated the most profound feelings in me. It was in the house, an Edwardian terrace, where we lived when my children were tiny. Behind the house was effectively wasteland. There'd once been a medieval friary there but it had gone in the Reformation and, until a year or so ago, nothing permanent had been built there in all that time. Our two back bedrooms overlooked this land. The smaller of the rooms was lovely, felt cheerful and cosy and safe. The other never felt right. I redecorated twice but it always seemed cold (physically and psychologically). Maybe it was the broken nights of early motherhood but I ended up feeling that there was actually something there, and it didn't like us. One night I remember getting really angry with "it" and telling it to go away and leave us alone. It seemed to work for a while but then the feeling returned, if anything with even greater malevolence. So, swallowing my scepticism I asked my father (dead) that, if he could possibly hear me, could he please sort it out for me. And, you know what? The feeling vanished after that and the room just felt....empty. I still didn't like it much but I no longer felt threatened. All psychological, I'm sure - or perhaps something to do with the underground streams that run through the area.