All of System Shock 2?
FEAR, well, sort of. FEAR wasn't overly scary, but there is one bit where you descend down a ladder, and as you character turns around to climb down said ladder, guess who turns up at eye-level contact to greet you...
Damn you Alma! (damn you whoever made the second Fear and turned your encounters into quick-time-events!)
Silent Hill 2. If I remember correctly, I was in an apartment and Pyramid Head comes in. You hear him coming. I made a dash to hide in closet and proceed to watch him kill a manikin thingy down a garbage disposal thingy...unsettled me and my pants, I can tell you!
Oh, and many moments in Clive Barkers Undying.