The second one isn't, because the player feels far too empowered even though the enemies are typically more dangerous or in greater numbers than the first game.
The first Bioshock, while not technically a horror game per se, absolutely thrives on the atmosphere that it builds, and it does cast Rapture as a very haunting, forbidding place. It's creepy, quiet (except for the groans and creaks of the fallen city and the insane ramblings of Splicers), dark, and lonely, and so depending on just how easily you're scared in video games, it could very easily become a "scary" game for you. It's not even that the player is particularly all that much weaker than Bioshock 2 (though the weapon/enemy/plasmid balancing was significantly improved in the sequel), it just has good enough world-building to make up for it in my opinion.