It depends on the game. "Amnesia" was a tough one, I decided to play without headphones, just old speakers instead, and most of the time I had at least a small light burning. When my sanity went all the way down, I lit a light in reality and it really helped me.
On the contrary, I started to dim the lights, turned them finally off and moved to headphones with full volume when playing "Alan Wake". There should be some horror inside, but I didn´t find it yet and will never find it as I stopped playing.
The most freaking-out experience was "Into the Dark". I didn`t expect much horror because of all the B-Movie, trash and boobie talk in the descriptions and played it at night, alone, with headphones to the max. My hair almost got grey on that one. It may be a trashy horror-comedy, but in some moments its pure heartattacking evil.