Scary games don't scare me they... enthrall me. The unsettling creepy factor of a game gives me this sort of excited high that I can't really explain, it grips me to it. So, I'll list some creepy games and what made me feel the most gleeful.
Eternal Darkness:
Though some of the sanity effects were a little campy, some of them were much more crazy. The best parts were walking around with low sanity because everything distorted slightly, voices were heard and the heads of statues would move. Sometimes, it's the subtle things that stick with you the most.
Yume Nikki:
This game is 100% nightmare fuel. It's a free game so if you want to check it out you can do a little search for it. The world is surreal and in many cases the combination of the subtle background sounds and music, combined with the surreal images you find kind of leaves something that lingers with you in the back of your mind. This is the element of true nightmares.
Silent Hill Series:
This series is just full of eerie atmosphere and chilling elements. Most of the monsters are that perfect blend of creature, and almost human. Uncanny Valley monsters are, IMO, the best monsters out there. The kind that you can almost identify with something human but it's not. It's those kinds of things that really seem to tug at your mind which is why they are the best <3
Quake:
Honestly, I'm listing this because of the background music, a score composed by NIN that is subtle and haunting and adds to the atmosphere.
Quake 4:
The strogification sequence. That is all.
Half-Life 2:
The Headcrab Zombies and the Stalkers. The zombies themselves don't really seem that scary... until you listen to them when they're burning, their screams are haunting. The stalkers themselves are just creepy in the sense that they were once humans that have been tormented and distorted, think back to the mentioned Strogification sequence, up that to 11.. that's probably what it was like for these people. That thought is what makes it frightening.
FEAR:
While I was personally annoyed by this game and found it's 'scary' scenes to be far more irritating and gimmicky than anything, I do have to take a nod to the expansion pack Extraction Point and the scene for Holiday's death. While I hated to see him go, that was by far the most 'scary' (IMO, most awesome) scene in the whole game and expansions combined.
Mother 2 (Earthbound):
Specifically the final battle with Giygas, the music for that battle really sets the mood, and the battle itself is made even more eerie by the words spoken by Giygas. On top of that, his death is rather.. 'violent' if that makes any sense.
Mother 3:
Once again, the final battle in this is rather haunting, the music combined with the knowledge of who you're fighting and what has been done to them is something that will really start to eat away at you in the back of your mind. Honestly, I wished they had kept in the original battle backgrounds they had intended to use, (they were removed because they were thought to be too frightening) the level of creepy and haunting it would have added to it would have been heavenly. *sad*
That's all I can think of for now, I'm sure I'll think of more later. Though eventually I'd like to be able to play Condemned, Stalker and The suffering.