Walking on rock on a steep slope in skiboots (usually to reach good off-piste). That one always gets to me.
One of my scariest moments was skiing lovely powder which I suddenly realised was getting very steep with nothing visible just below. I stopped on a 45º slope with a drop over a several hundred foot cliff just below me.
Climbing up only about 15 feet in powder on a slope that steep to where there were some small trees seemed almost impossible and seemed to take forever, I was convinced the slope would slide over the edge at any moment. Major pucker.
The idea of suffocating in an avalanche is horrible but it doesn't really affect my (mostly off-piste) skiing. (I was in quite a big one once but luckily stayed on top). And I'm not scared of trees, though a friend of mine died hitting one.
But sometimes when I come off skiing steep off-piste and hit a fast, crowded, icy run - I think: Christ, this is dangerous!