I can't choose a single scariest moment, so I'll list a tiny handful.
My first encounter with Pyramid Head in Silent Hill 2. Also my first real experience with the series at all. "Why aren't my bullets working? He's not even FLINCHING! They're the best thing I got and he's not FLINCHING!"
Resident Evil 2's segment where you have to solve some puzzles, and dodge zombie dobermen, alone as 10 or 12 year old Sherry Birkins. I though they were SICK making a kid fend for themselves in these things, The same way I grow furious in a Crime Drama when a kid is the victim today, so I was hell bent on her safety and panicked at the slightest footstep.
Lastly, many sections of Raw Danger (A lesser known PS2 game). Raw Danger is all about escaping a flooding city, making it survival without the horror, though still frightening. Apart from the fear of being swept away to drown, you can also suffer a loss of body heat as you get soaked and hypothermia sets in. First you lose the ability to run...then the screen begins to get hazy from the outside in, slowly...eventually, you just collapse and are 'lost', likely doomed to freeze to death. Who needs the threat of bleeding to fear for their lives?