A few years after the game came out, I was watching my cousin play through DOOM (the original, not ZCC), and there came a point where he opened a door, turned around to make sure he'd picked up all the ammo in the room he was in, and turned around to come face-to-face with a cacodemon. At that exact moment, the dog came up and licked his elbow. He nearly jumped out of his chair. That was the closest I've ever seen to someone being scared by DOOM. Jump scares are easy; if you want to genuinely scare people, in a way they remember decades later, you need atmosphere. Maybe it's just me, but I'm not scared by gore; I've seen truly horrifying things in that field and shrugged them off (in video games, that is; I'd probably be a lot more freaked in reality). There's a weird sort of homeopathy in it; a pile of dismembered corpses does less than a single well-placed drop of blood.
Of course, atmosphere is deeply tied to experience, and even in the subjective category of fear, that can be hard to pin down. The time a friend and I were playing Eternal Darkness and the power went out ratcheted the game up several notches; most people don't have that happen. S.T.A.L.K.E.R had excellent atmosphere, but someone watching over your shoulder saying "watch out for the bloodsucker in this next tunnel; keep your shotgun out" is going to spoil a lot of it.
-X-Com scared me, at times: several years ago (long before the hyphenless reboot) I was sitting idly in a pharmacy, staring into space, when the guy sitting a few chairs down from me got a text message. This would be no big deal, save that his text message sound was the Chryssalid hunting cry; the noise that they make when they see one of your troops but can't reach it (given their speed, this rarely happened; most players have probably never heard it; but it was always a stressful thing to hear). I was not consciously aware of hearing the sound, and not at all aware of moving. I just knew that one moment I was sitting calmly, the next I was crouching behind my chair, which had had its back to the wall, desperately grabbing for the heavy plasma cannon that I didn't actually have.
-System Shock 2 is single-handledly responsible for my fear of cryokinetic monkeys. It was a game both atmospheric and immersive enough to give a sense of danger even though it wasn't actually very difficult; you always felt on the edge of defeat. And I've often thought of using the camera alert noise as an alarm clock alarm; I'd never be late for anything again- at least until I panicked and shot my alarm clock.
-I was very surprised to see no one before me mention Undying; then I remembered that it sold, like, twelve copies. That game did scary very well. Atmospheric dread, a looming invincible enemy, constant serious threat, and non-jump-scare jump scares. There's a particular moment, fairly early on, that sticks in my memory: walking down a long hallway, seeing the curtains next to the open windows moving, not sure if it was just the breeze or a charging enemy. If you haven't played it, you should. Wear old underwear.