Yucky means gross/disgusting. Creepy means disturbing/alarming, like what Alexander said. When something is creepy, it makes you feel unpleasant and uncomfortable. Example: Haunted houses are creepy. Dog poop is yucky. :)

'yucky' is reserved for children (that is, only children use the word, or if you want to imitate a child). Creepy also means 'disturbing' or 'alarming' whereas 'yucky' only means one thing; disgusting.