I loved that questline, also.

I don't scare easily while playing WoW. Naxxramas never really gave me the creeps, Karazhan was really fun, and I've even gotten so used to ICC that I can eat while fighting Rotface and Festergut without getting grossed out. Running around Duskwood is spooky in a Halloweeny kind of way, but it's not really scary. The Plaguelands are more sad than creepy.
Granted, I never got to see the Room of Upside-down Sinners below Karazhan, which is supposed to be the creepiest thing in the game. But otherwise, nothing in WoW really made the hair on the back of my neck stand up. Until...

Riding on the back of that horse, not knowing what was going to happen, tossing fire and urging the mount to go faster as a seemingly endless stream of slavering worgen nipped at my heels...that scared the crap out of me! By the time we got safely to the end of that quest, my heart was just pounding!

That particular sequence isn't necessarily significant from a lore perspective (although the lead-up to it is), but for sheer adrenaline pumpage, that one stands out in my mind.