For me it was Silent hill Shattered memories:
I was playing the game for my GF and her sister because they are both big fans of Silent Hill but could never play because they don't have any of those electrical pulses in their brains that help use fingers to push buttons... Or something...
It was in the beginning of the game.. I got passed all the cutscenes, too the awkward lil quiz and all that jazz...
Considering there's usually never anything scary in the beginning of games, I was having fun with this.. I was spamming the A button that caused your character to call out for his daughter for that segment, just to annoy the ladies

, then everytime I opened up a door, I would do so in a slow fashion, peek in and do a lil shriek and close the door...
My Gf said.. "It's all fun and games till something ends up peeking at you from the other side of the door.." We all had a laugh at the thought... Goofing around, checking stuff out, and exploring... We finally make it to the first nightmare segment...
To make a long story short, as I began running through the buildings... I was about to push my way through a door, and just so happened one of those creatures poked it's head out and grabbed me..
It scared the shit out of me so bad I screamed like a lil girl LOL.
That's what I get for messing around! xD