Doom 3 and Bioshock had a million of these, if we're talking in-your-face-screaming spooked instead of thrilling suspense spooked (of course, Bioshock had loads of seriously f-ed up suspense parts too). I think the part that got me worst of all in Bioshock was the scene where splicers playing dead are first introduced.
I walk into a long narrow engine room filled with machinery. As soon as I walk in, the door behind me locks. Walking about one third into the room, the lights go out, rendering me blind, and maniacal cackling and laughter of multiple people starts bouncing from the walls all around me. I try to just stay still with my napalm thrower ready, looking around for anything visible. After about ten seconds, the lights go back on, and I continue further into the room. Another third down and this scene repeats. Again, the lights turn on with nothing to be found anywhere in the room, not behind the engines or the pillars. As I walk closer to the door the lights turn off one final time and once again I wait braced for anything that might be in my face the next second... After a few seconds the lights go back on again - and on the floor between me and the door lie numerous dead bodies that weren't there when the lights were last on. This really creeped me out and I was initially hesitant to go on to see what was waiting behind the door, but then started running towards it anyway... And as soon as I reach the bodies they jump up screaming at me and start attacking. I swear, I've never lost my shit as bad as I did that time. I really ran for my life. Of course, after a moment the splicers were all lying burning on the floor, and this time I made extra sure they stayed dead.
This didn't happen until about half way through the game. By this time I thought I already had the game figured out, had taken just-in-case-shots at previous bodies I'd found, never finding a dead body that really wasn't dead. I assumed they were all going to be that way, but boy, was I wrong
Also, I had to quit playing Tomb Raider back when I was 10, because going into new rooms always creeped me out too much. I was always certain there'd be something jumping out to attack me the instant I walked in. There never was, but it was still scary as heck.
EDIT: Mirror's Edge has still got to be the scariest game I've ever played. Playing it in the dark with my headphones on, completely immersed in the game, and then looking 200 meters down from the top of the roof I'm just about to jump off... It shriveled up my balls every time. Some of those levels were just sick. So many times I had to stop just because I was going "no no no no no, I am NOT going to do that!!!" And having 4 years of personal experience in parkour didn't help at all in decresing the immersion
