The doors opening and closing by themselves, the darkness, the room with all the heads and blood, the hallucination with the glowing one that appears out of nowhere. It's a pretty creepy place, especially when you don't expect it. The quest you get from Point Lookout to go back to the Dunwich Building is also pretty eerie.
You were expecting it to be scary. You went in with that mindset, whereas the people who played this game years ago including myself, were pretty freaked out because it was so unexpected. There are so many buildings in Fallout 3 that so similar, and walking into somewhere like Vault 106 or the Dunwich Building expecting more of the same makes it much more frightening. You had said you walked in with prior knowledge it would be scary, that's what ruins it.
And also, you were freaked out by Dunwich Borers? When that has pretty much exactly the same elements that made the Dunwich Building scary?