Halo: CE when you first meet the flood. I absolutely refused to continue playing that level unless it was daylight with a friend sitting nearby me (I was 7 at the time, what can I say?)
And whenever being chased by some big monster thing that'll kill you in one hit. Heck, the Gears of War Berserker's scared me when I first ran into that thing. All is fine then Carmine #450 gets the crap beat out of him no less then 20 feet from you because he decided to ran away.
Once again, needed a friend to finish though. Though I later am able to play games fine now, such as BioShock, Alan Wake, Dead Space, and whatnot solo at night. There are still those... moments, that just catch you off guard that freak you out.