After long consideration and replays in the recent days, definetly Undying and System Shock 2 are at the top. Depending on the mood, many games may freak you out. Some parts of Condemned (1-2) were also really creepy. Oh and also Call of Cthulu, Dark Corners of Earth -> VERY CREEPY at parts.
I am not talking about the panic feeling though which comes with some kind of a fear. I am talking about pure fear. Not being able to move your char from under the table you just hid yourself etc.