A game needs to be unexpectedly scary to scare me.
With games like Dead Space or the (older) Resident Evils, you KNOW it is horror. "Oh, a window! Boy I sure hope nothing bursts through it to try and kill me!" You are more guarded against the fear when you know to expect it.
STALKER avoids this quite well, as I just figured that it was an FPS pseudo-RPG. When I started, however, I found that the enemies were numerous, the environment could always kill me in an instant if I was careless, and ammo was in short supply. Then I got to Strelok's stash. Since I was not expecting the game to be so creepy, so I ended up getting really scared.