思いをする【おもいをする】

思いをする means "to go through" a feeling: you had a frightening time, an embarrassing moment, a lonely stretch. An adjective describing the feeling goes in front of おもい思い – an い-adjective as it is, a な-adjective with な – and the person who went through it is the subject.

A な-adjective keeps its な: ×不快思い → 不快な思い. A plain verb can stand in front too, often with ような: しぬ死ぬようなおもい思いをした, "I thought I was going to die".

思いをする or 怖かった

こわかった怖かった reports the feeling. 怖い思いをした tells it as something that happened to you, an episode you lived through, which is why it turns up when people recount past events or ask after someone. The adjectives that go with it are mostly unpleasant: 嫌な, 辛い, 怖い, 悲しい, 寂しい, 恥ずかしい, 悔しい, 痛い.

Making someone go through it: 思いをさせる

The causative おもい思いをさせる means you made someone feel it, and the person who suffered takes に. With てしまう it is an apology or a regret, and it is the standard wording when a business apologises to a customer.