Recently? Metroid Prime 3. It's rare for games to actually scare me, but knowing that power cell I just pulled out of the wall released a bunch of Metroids pumped up on Phazon scared the crap out of me.
First times I played Survival Crisis Z and Left 4 Dead they scared me too. Not so much scarey scared, but jumpy scared because the Zombies come out of no-where and spook you.