I like a jump scare that results in a panicked minute of attempting to escape the cause of the scare. Good examples would be <spoiler=the first time you meet the controller mutant in S.T.A.L.K.E.R.: Shadow of Chernobyl>"Ooh, look, a supply box! I'll just grab it- hey, what's that high pitched squealing- AAAAAAAH! CRAPCRAPCRAPCRAPCRAPSHOOTITSHOOTITSHOOTIIIIT! Gah, stop shooting- run away- ladderladderladder aaaaaahhhhh!" or ANY playable encounter with Pyramid Head.
Also, any game that starts out very friendly and just gets scarier and scarier as the game continues. I bet a lot of you know EXACTLY which game I'm thinking of. (Hint: It's freeware.)