I don't really play Horror games. Fallout 3/New Vegas does come closest to it, though. Especially Fallout 3, which has few settlements, and a little friendly faces. I walked into the Elementary School in Springvale, and it was... It's ironic that that was one of the places that creeped my out a lot, yet it was a school. Blood and corpses everywhere, trashed, burned, bodies bloodied and hanging from the ceiling... Dirty, dark, and tight spaces.
Oh, and every Metro system in the game, ever. Those places were as generic as you can get, it gets annoying as fuck to look at, but it still maintains a dark feel to it, there are ghouls, and in some, there are deadly traps.
Then, there's Majora's Mask, which scared me as a child. Even now, it frightens me at least a little, but not as much as before. The moon was especially creepy.