I was about 8 years old when i first got to play Alone in the Dark 1. I was on the edge of the seat all the time, while playing with the female character. At one point, the character was walking down stairs and the camera-angle suddenly changed. I freaked out because of this huge head staring at me from the screen. It took me some time to realize that the head belonged to the character i was playing. It was like the hospital room in Silent Hill 4.
Other game's that scares me, every time i play them are: Fatal Frame 3 (or Project Zero 3 to some). It has this wicked ghost crawling under floor, upside down. She always scares the shit out of me.
Resident Evil 3: First time i played it, the Nemesis scared everybody in the fucking room. But now, seven or some years later, it just doesn't work the way it did.
Forbidden Siren 2: Overall very creepy game, but at the end it has these new monster's, which are made of BIG HEAD and fingers. They are the creepiest shit i have ever seen in any game or movie.
