There's only one game in my gaming history that has managed to frighten me.
Thief (and Thief 2, I suppose)
Not because it was particularly scary. It was dark in its own merit, but not a horror game. However, considering it was not built around combat, I grew extremely fidgety around creatures that I knew would eat me alive if I alerted them.
The rattling of chains, the moans of the dead and the hissing Join ussss, Join usss nooow of the haunts... ugh.
I jumped in my chair on many occasions and some of that is to blame on the sound quality of the game. Back then it was amazing.