Most probably masturbating the first time and getting aids...
J/k
Serious:
I think a lot of games these days fail in doing that, kinda like movies. A bit like 'the Grudge' which tries far too hard to scare people, and should've been put down YEARS ago before it was a whole new racial-series "Black ghost" & "White Ghost".
Though, (game-wise) I believe there's a game series that basically is 'The Grudge', which is called FEAR. But unless you have a phobia of the dark or shit-scared of quick time events (To which, if you are scared of Quick-time events, play Battle Field 3. That has so many, I actually put the game down before completing it) you have no real problem.
Though, I played the game Amnesia and that wasn't so bad... Apart from I felt like I was in some kind of childish-nightmare where I was hiding from the boogy-man in the cupboard, until it went away. NOT that I played the game for too long. Five minutes later I was on my way to Starbucks to sit in a Cafe and pretend to be deep, just to see if anyone really did care.
Most games, I've found, aren't really that scary. It's a damn-shame that they're not; just very jumpy. At least games like Silent Hill (No, I've had a fan-boy-ism for SH before I found Yahtzee, so PEE OFF o.e) were actually disturbing and creepy enough to scare you. Or more so, while tucked up in my own empty-bedroom, in the dark, whilst playing the game. Then again, I'm not hard to scare. I just look again and go "Oh... It was just... A fucking snail... Right."
I mean, in the reality we live in, I'm surprised anything is scary...
Back onto movies, the only real movie that's scared me recently was Woman in Black. Whom my partner was shit scared and kept hugging me and holding my arm, which made me more terrified because I thought my arm was around to be pull from the rest of my limbs!