Been playing since the end of the Atari and Commodore era and the beginning of the original Nintendo Entertainment System, still waiting on a frightening experience from games. One of the earliest games I remember with horror elements was Forbidden Forest. Giant spiders, skeletons, a rain of enormous frogs, banshees, even the showdown with the demogorgon who mostly let you fire wildly into the darkness until you were helpless.
Survival-horror games just don't offer anything to frighten me, I just get angry when playing them, probably due to the overabundance of the aggressive scare tactic. The Silent Hill series has been a shining example of this, as I consider the emergency axe and an already defeated enemy to be the recipe for catharsis. Resident Evil was more of an, "oh, not again" annoyance with the enemies. Clock Tower had me feeling vindicated when I finally got to shut up the monsters with a spot of violence. Haven't played Eternal Darkness, but watching it I just kind of yawned at their best attempts.
I guess it all has to do with the fact that I'm well adapted to artificial realities, I know they aren't real and there's nothing to fear. In real life however, I tend to be frightened just being outdoors after most people have gone to bed; there's something about the lack of people activities that unnerves me. The fact that people are responsible for the ideas in games intended to scare people is also a very effective contributor to my paranoia. Doesn't help much having studied statistics on sexual assault either, being a woman.