Horror games don't really scare me too badly. Games that have a "spooky" atmosphere do the job way better imo.
Shadow of the Colossus creeped me out a good bit. Especially the first flying colossus where you have to swim to a platform. The first time you play, you don't know if there's anything down there.
A game that scared me when I was younger was the first underwater stage of Mario 64 and that eel. You know what I'm talking about. OH, another one is Banshee Boardwalk from Mario Kart 64. I wasn't able to play with the music on when I was younger; scared me way too much xD
EDIT: I haven't played Amnesia yet, so maybe I should do that...
"But, you're bound to be disappointed if you keep expecting things to turn out so cheery" ~Etna, Disgaea: H/AoD