A lot of people mention the harder fallout 3 monsters, Mole Rats creep the shit out of me. Sure they die in like one hit, but they move quick and are pretty silent, and when they attack they make a loud noise. Just last night I was wandering around the waste and out of no where two jumped me, I nearly crapped myself. Also, ANY swamp folk, mostly the scrappers, scare the shit out of me. Really, all of point lookout was creepy.
*edit* Forgot to mention Dead Space, for me, I got tired of the method used to kill enemies, so the game eventually became less scary, but, it terrified the everliving hell out of my girlfriend, she couldn't sleep for days. Oddly enough, she was the one to make me play it.