So far, the only games to freak me out are the Silent Hill series. I mean, the first 2 scared the crap out of me. Then I played 3 on the PC (first one I played on a PC), and I had to shut it off after playing it for more than a couple hours. I'd sit in my apartment with headphones on. If I felt like I was starting to lose it, I'd turn it off and do something else.
That was a few years ago, though. So far nothing really bothers me. I mean, I get startled. When those heavily armored guys come blasting through doors and stuff in FEAR, I get twitchy. Stuff like that.
And as far as I'm concerned, there is one part of Half-Life 2 in particular that was rather creepy, and that was Ravenholm, with all of the head-crab zombies and such. The ones that throw the poison head-crabs sucked, but the really fast roof jumping zombies freaked me out. They were so fast, and all of a sudden there are like 3 on top of you. I was really cautious in Ravenholm.
Does anyone remember some of the older games, like Duke Nukem, Shadow-Warrior, Blood, and stuff like that? Doom 2.... Yeah, those were the first games to scare me. Back then, I was only like 11 or 12, and that stuff was as scary as it got. I remember Doom for the Nintendo 64 scared the crap out of me when I was like, 13. The graphics were better on the N64, plus the ambient noise and music.... babies crying and screams and stuff.