Most recently, S.T.A.L.K.E.R: Call of Pripyat.
As many have already pointed out in this thread, the S.T.A.L.K.E.R games have great immersion. This makes the game a lot more terrifying since you really feel like you are the one that in in danger. Things that wouldn't be scary in other games can be horrible in S.T.A.L.K.E.R. For example, I entered an old dilapidated building, looking for some loot. I expected to find some mutants inside, but there was nothing. But then in one of the secluded rooms, I saw some documents on the table. Because they were apparently an important item, I was able to pick them up.
Then I heard foot steps.
The building wasn't empty. Now in most games hearing some footsteps after picking up an item wouldn't freak me out. If I was playing Halo I would waltz out of the room unhindered. Instead, I was paralyzed with fear. I didn't know what the hell was out there. I figured it was probably some mutant like a bloodsucker, or worse. So I huddled in the corner and pulled out my shotgun, waiting for whatever was outside to come to me. But I just continued to hear the footsteps as the unknown entity paced back and forth, waiting for me to come out of my hiding place. I desperately looked for another way out of the room. I saw a window that I was barely able to squeeze through, falling about 25 feet and taking away half of my health bar.
It was at this time I received a radio transmission stating "You shouldn't have come here stalker, Now you're worm food.". It was then that I discovered that the creature I was so terribly afraid of was actually just a squad of mercenaries. That part of the game probably wasn't even intended to be scary, but I was so immersed that I immediately assumed the worst. I won't even go into the parts of the game I've encountered so far that are supposed to scare you. Don't want to spoil those parts.