I'm almost ashamed of my Scariest Game Ever: F.E.A.R. It was my first horror game, you see. To this day, I've yet to experience such an odd combination of power (being able to completely destroy the Replica soldiers, who are actually worthy opponents, great AI) and powerlessness (as soon as the supernatural stuff kicks in, you may as well be shooting spit balls). Most other horror games, like Condemned (my second scariest, by the way), scare you by making you feel totally helpless, and like you're just barely surviving, which is great when it works, but the juxtaposition you get in FEAR is something else entirely.
I doubt it would have worked for me had I been seasoned with horror games, though. I was literally scared that Alma would randomly kill me every time I saw her (I mean, I caught on that she wouldn't intellectually, but I was still scared for my (fake) life emotionally). I think that was just because of how green I was. That said, I still play it occasionally, and some things in the second half still scare me (and the final confrontation with Alma still creeps me the fuck out, and I think it always will. Look for it on Youtube), but that's more because of my memories of how scared I was originally.
That said, FEAR did do a lot of things great. One example I always point to is the music. For the first half of the game, the music, though initially creepy, works predictably. Music builds up, reaches crescendo, scare happens. In the second half, though, they start fucking with you. Sometimes, it still works like in the first half, but other times, music builds, reaches a crescendo, and then...nothing, leaving you with this sense of dread as you practically beg for the scare to happen to clear the air(I have a distinct memory of one of the first times this happened, and I was just standing there, staring at an in-game desk, too terrified to move on). Other times, the scare happens with no warning, leaving you scared without the usual Pavlovian response, making you uneasy.
The most effective scare, though, has nothing to do with any of this. It's really more just this hugely disturbing moment than a traditional scare anyway. You get in this elevator, and try to go up a few floors. You go up one, then the elevator lurches to a stop. You go out onto the landing and find a way into the maintenance shaft inside the elevator shaft. As you approach, a screaming man dressed in office clothes falls past you onto the elevator. You look down, and see that the elevator is covered in blood and dead bodies. And then the disturbing moment kicks in: this is what the Replicas have been doing with the dead bodies, why there was so much blood but so few bodies. They'd been massacring the civilians in the building they were ordered to attack, then throwing them onto the top of an elevator. By this point, you know the Replicas are ruthless, that they're being telepathically led by a sadistic, cannibalistic psychopath, but to see it laid out in those terms...