Since I'm too lazy to rewrite the whole thing, I'll copy/paste my answer from the "things that creep you out" thread.
The only two times I can remember when I was really, absolutely, crap-my-pants-and-hide-in-a-corner scared would be:
The first would be when I played Vagrant Story (old, but awesome, PSX game) late at night and ran into the Quicksilvers in the the Undercity area.
Basically you're running around, wearing ass-less pants, in a cursed city full of undead and various monster, chasing a cult leader who may be dangerously insane or the next Messiah (it's a bit of a toss-up, really) and you walk down into the old slums of the city where the building are so crowded that there are no streets, just alleys, and the crumbling old houses lean in towards the few flickering lightposts as if the very city itself is beginning to feel afraid of the dark... And then you hear giggling, and little bright white dolls resembling children stagger towards you brandishing various sharp objects.
And the other would be when I accidently summoned Cthulhu in my bathroom.
No, I'm not joking. I'm 100% serious.
I could see the light dim as if something was blocking the door and I felt a gust of warm air on my neck, coming from slightly above. Of course, when I turned around there was nothing there, so I figured it was just my imagination, and that I was tired.
That night I slept very badly and dreamt of shrill flutes being "played" in no particular melody, just a long series of noises. And anyone who knows their Lovecraft know why that is a bad thing.
I then woke up in the middle of the night to hear some sounds fade away. The "splotch, splotch, splotch" of something big, wet and slimy walking across my floor.
Basically I crawled into the corner of my bed and sat there, hugging my knees and desperately focusing only on keeping my eyes shut, and feeling the wall pressed against my back because I just knew that if I forgot about either for just a split second, and opened my eyes to see what was in front of me, or forgot that I wasn't anywhere else than in my room I'd be dead.
Afterwards, it's kind of a fun story. "I accidently summoned Cthulhu in my bathroom" is a good conversation topic when you have nothing else to say..
But that night was the only time in my life that I've been completely and absolutely terrified.
Even a few years before that when a doctor suddenly told me that I might die, or at least get crippling brain damage unless they perform sugery within a week, did I get the same feeling of fearing for my life.
