I've got a few games in mind which can be considered terrifying.
Resident Evil (The old games like 1, 2 and 3 although the series can be better described as startling rather than terrifying.)
Silent Hill: (In truth I've never had the please of playing any of these games, but from what I've seen youtube wise and other sources they do look really scary.
Finally Fatal Frame, a game where you have to face ghosts with a camera, the closer you let the ghosts get to you, the more damage the camera does.
Here's an example of how scary the game can be. The video is from Fatal Frame 3.
The embedding was disabled so here's the url link.
http://www.youtube.com/watch?v=R5Z_WzLTyJA&feature=related
Hope that helped you in some way.
Oh wait I almost forgot, phantasmagoria.
I was going to post some of the games death scenes, but shall refrain from doing so as some are really fucked up.