Morrowind.
Seriously, enter an Ancestral Tomb without any light or good weapons and armour. The sounds you hear in those places scared the crap out of me. Whispers, footsteps, angry spirits talking through the walls... And everyone knows that at the beginning in Morrowind, a goddamn rat can kill you, so fighting ghosts becomes even more scary because you know that you *will* die sooner or later. And I usually played it at night with my headphones on too.
Seriously, enter an Ancestral Tomb without any light or good weapons and armour. The sounds you hear in those places scared the crap out of me. Whispers, footsteps, angry spirits talking through the walls... And everyone knows that at the beginning in Morrowind, a goddamn rat can kill you, so fighting ghosts becomes even more scary because you know that you *will* die sooner or later. And I usually played it at night with my headphones on too.