From my perspective, radio shows are rarely scary. I enjoy them, but scared? Hardly. There's one exception that sticks in my mind, years after I heard the show on the radio. It was an episode of The Shadow, called, I believe, The Gibbering Things. It involved Lamont Cranston being trapped in a locked chamber filled with creatures that make insane sounds and rend their victims to bits. Gibbering is a very good description of the noise they made. I don't know if the episode is available out there on one of the OTR sites, but give it a listen if you find it.