Fatal Frame 2 creeped me right the hell out of my skin. It wasn't the ghosts so much as it was the creepy whispering sounds and whatnot, especially with having a 5.1 system and hearing it so much right behind me.
Manhunt sometimes gave me a jump whenever I'd get discovered, especially with the Smiley gang, and my pulse would quicken every time. But the moment in there that was the first time meeting Piggsy. I've just lost all my weapons escaping out of an elevator which he just began chainsawing into, and I climb out of the shaft into a decrepit, wooden floor with rot and decay everywhere. I creep down the hall and just as I reach the corner, he charges around right in front of me, squealing like a pig wearing nothing but a pig's head over his own, and chainsaw revving. And then to top it off, he otherwise searches by sniffing around the hallways, and in one room when hiding, "Sniff sniff" is seen on the wall smeared in blood.
In Bioshock, the two biggest for me were when I first pissed off a Big Daddy, and the second was the first meeting with the Houdini splicers. A guy shouts "I need some help here!" and only his departing shadow is seen. I follow, figuring it's likely a set up, and end up at the end of a darkened hallway with a desk that has some candles and a weird, wooden mask facing me. I hear "Hello, beautiful!" behind me, and turning around, am face to face with the splicer, and with the only other light source being around the corner at the opposite end, all I see is just his two eye holes of his mask, glowing red. I just stopped and we stared at each other for 10 seconds, and then he just suddenly disappears in a flash of red. My immediate words were "What in the FUCK?"
And then there was the first time seeing Pyramid Head. Just staring at me from the other side of those bars, as I approached. Holy hell.
And I have to second the mentioning of Adam from Dead Rising. The voice, his appearance, those two chainsaws being juggled, and seeing the two "kids" in the ride...creepy through and through. On the other hand, Stephen was pure hilarity. "THIS IS MY STOOORRRRRRRRE!"