Both are umbrella terms that tend to be used Interchangeably, at least around this community.
Personally I think Scary has to do with a more basic fear, like that feeling you get when you are anxious about something, but with a fearful mindset.... Racing heart, racing thoughts, muscles tensing up etc etc.
Creepy has to do in my opinion more with a disgust reaction, like that weird dude who picks the trash cans and has a funny look in his eyes... that's creepy, as long as he is harmless.
I see it as very similar to the differentiation between horror and terror... the former is a reaction to something that has already happened (scary), whereas the latter is a creeping dread of something horrible that is anticipated or hinted at. They both have their own strengths and weakness regarding literature...
I'd say my views on the two descriptors match up pretty close to Bloody's answer. I personally find "creepy" easier to write than "scary". That weird dude picking through Bloody's trash cans with a funny look in his eyes is right up my alley, but I'm still not satisfied that I can properly set an atmosphere that slowly crawls over the reader.
Creepy- Uncertainty, something's not right but you're not exactly sure if it's dangerous yet, like an intimidating, tall man. Something that's not as obvious when it comes to creepy (E.G. in a story you read: "I heard footsteps" Or "I heard the scream of a man in the distance" would pass off as creepy while something like "The lady had big, cold, buldging eyes, eyes that would pierce throught to any man's soul." or "The man had a stutter in his voice that showed nothing but insincerity, as if he were hiding something. It didn't help that he refused to meet my eyes with his own." would be a more subtle form of creepy) can be easy to miss for some people IRL.
Scary- Certainty, and the fear of it. You know full well what you're up against is dangerous but you know you can't do anything about it or you don't know how to fight it. (E.G Before I could react, the lights had gone out, and I had a feeling that the man who'd once been in front of me had now vanished into the darkness, waiting as he stalked his prey. Me."
Scary - rational to be afraid of it. I am scared of the impact after being dropped from a great height. I know of the SPLAT!
Creepy - something is wrong with this. It's not what it should be. See "The Uncanny Valley" with robots. It's close to what it should be, but isn't. Nobody is creeped out by R2D2. It's a trash can. Nobody is instantly creeped out by the appearance of Caprica 6. She looks like a normal human. Then there are those things in between that almost look right but something is wrong or fake and they are creepy.
Thus, creepy doesn't require scared and scared doesn't require creepy.
I can write scary quite easily. But for me it takes work to reach creepy.