Dead Space/Extraction (in the latter mainly because you actually care about the characters around you), FEAR 1 and 2, Silent Hill. Doom 3 and the Resident Evil series occasionally scared me, but in the "IN YER FAEC! SHOCK!" kind of way - sure, it's scary to have some strange creature jump straight into your face from around a corner, but because you are surprised and not because the atmosphere is really intense.
System Shock 2 was great too, although I have to admit that the graphics and lack of scripted sequences kinda prevented me from getting really immersed. I'm by no means a graphics freak, just when it comes to horror games I need some eye candy to feel truly scared:).
