Scared the Willies

This is another one of those phrases that has no definitive origin.

The Morris Dictionary of Word and Phrase Origins, traces "the willies" to the slang expression "willie-boy," meaning "sissy" -- presumably the sort who would be prone to the "willies."

There is a Serbo-Croatian word "vila" (in English, "wili" or "willi") meaning a wood-nymph or fairy, usually the spirit of a betrothed girl who died after being jilted by her lover. It seems entirely possible to me that "willi," the spirit or ghost, became the "willies," the feeling that something creepy is going on.
Personally, I vote for "willi"!!!