Resident Evil 3 gave me quite the scare back in the day, especially after I first ran into the Nemesis. Didn't touch the game again for days.
Recently though? The Fatal Frame series. Every single one of them unnerved me and just freaked me out, especially how you have to fight against the ghosts.
Nothing came close to that until Dead Space 1 and 2, when I played it in the dark and with headphones on. Every Necromorph encounter initially freaked me out, especially when they pop out behind me or the whispers started. Plus all of the deaths being gruesome gave me an incentive to avoid dying at any cost.
After that came Amnesia: The Dark Descent. Made a Let's Play out of it for my friends to watch once and they made a meme out of my freak-outs and strings of swearing.
And today? ZombiU to an extent. Mostly because you instantly die if a zombie so much as grabs you, and the thick atmosphere and dread the game subjects you to works pretty well to make you cautious. Every time I have to access my inventory I get paranoid I missed a zombie or one's going to pop out of nowhere.
GT: Kenichi340 "What was the point of that pregnant pause!?" - Edgeworth
The abandoned house with the writing all over it that you had to follow...You can only use the UV light or the flashlight...not gonna spoil it...but I turned the game off after that...I normally play horror games in the dark...I turned every light in the house on after that
The Closest You'll Ever Come to Afghanistan in Gaming... http://youtu.be/GIhqUiQJt6Q
BTW I've played most of the Silent Hill games, and they were just way too weird for me personally, so I never got scared at all. But I acknowledge that some people equate weird & strange with scary. For me though, it does the opposite.