Shalebridge Cradle in Thief 3. Just... all of it. Nothing beats picking a door open only to have a freaking twitching zombie with cages on its head and limbs swing it open into your face, and then trying to scramble back while crouched while pressing FLASH BOMB FLASH BOMB OH PLEEEASSSE.
Other parts of the game were scary too, particularly to someone new to the series. That time on the zombie-infested ship... My god, the wheezing! *shudder*
The mission in that widow's mansion, too, because it had such a melancholy atmosphere that I kept *expecting* ghosts or something.
And then I went back to try out Thief 1 and such and it was so much more terrifying, because the zombies are basically unkillable and so much harder to hide from! O_O
Morrowind and Oblivion had plenty of scary moments too, while exploring dark ruins with the soundtrack (and its warning blares of combat music) turned off. The daedra shrines and ugh, the Corprus victims in Morrowind... >_< Another scary moment was when I had a custom track in the soundtrack folder that actually includes sort of crunching footsteps that sound like they're right behind you. Whenever that starts playing in the game is genuinely paranoia-inducing.