Dead Space wasn't all that scary... right up until the very last scene before the credits. Scared the shit out of me. Had my heart pounding, and very few games are able to do that to me.
The Resident Evil GC remake was creepy enough, but the first instance of one of the fallen zombies rising back up as a Crimson Head right as I was walking past it was scary as hell.
There was also Descent when I was quite young (in case you don't know, it's a game about piloting a spaceship though underground military installations battling flying robots on planets and moons in outer space). The cloaking robots used to freak me right out, along with some of the boss robots simply because of how much firepower they had. However, were I to play it now, I wouldn't even bat an eye.
Half-Life had me on the edge of my seat quite a bit when I first played it at 12 years of age, especially in the beginning disaster sequence. Even now, I find it a bit creepy, though oddly enough, I get more on edge when I hear the soldiers' radio communications than any noise the aliens make.
That's about all I can think of for myself. Fun fact: My older brother got nightmares from the original Wolfenstein when he watched our cousin play it when we were young (less that 10 years old). After playing it again in recent years, he STILL can't believe such a cheesy (in his eyes) game could have scared him so badly.