Definitely FPS chases. I remember this one scene in Condemned 2 where you're chased by a giant bear. That one still gives me the chills.
I also hate it when you're placed into a situation where you have no means of self defense, like the opening of Dead Space 2. As soon as I could melee with the flashlight, I felt safe and okay.
Also, pretty rarely, but sometimes I get scared by water. In real life, I never swim in places I don't know and it drives the missus crazy. Pools and stuff are cool, but dark, unknown water? Hell no, could be sharks in there. Okay, so it's inland and in the cold north, but still. And this, well whaddya know, transfers into games. Unless it's the kind of game where I can be at least a bit deadly underwater. Then it's cool.