I've had and still have to this day such scary moments in S.T.A.L.K.E.R., especially during night time without night-vision goggles (just the flashlight). Just exploring some ruined building (I play with a mod where the A.I is really free roaming, non dependent on the quests at all, they can even break the quests, but I still love it like that, it's a sandbox of pure chaotic events, nothing is predictable or almost) gives me the goose bumps up my spine.
And EACH time I go inside Lab X-18 I have a very unpleasant feeling of being observed. I KNOW I've killed all the Soldiers and Poltergeists, I am physically alone. But the very sounds and atmosphere of that damn place is creepy I tell you. I don't know what it is, the developers really made it like they advertised it, a man-made-hell, a scary one of course, and dangerous too. I swear I always turn back and look if I might not have forgotten on of them. Usually I just go up the stairs to go back on the surface as soon as I can. In fact I try my best to completely avoid that lab. On the other hand, strangely, Lab X-16 isn't that creepy.
Another place I HATE going to is the sewers under Agroprom. At first it's "ok" against the humans. But as soon as you go down that spiral stairs and go deeper into the sewers you start hearing more random atmospheric sounds and it forces you to stay on guard and not to mention on your nerves too, always ready to jump outta your chair at the first sudden bite or blow in your back (think Bloodsuckers, those damn things have to be the most annoying enemies in any game I've played).
I also remember having I think one or two such moments in DOOM 3, during my first play through. All events and enemies are scripted and predictable when you play for the second time, but the first time you don't know what's going to happen. I wasn't scared by the "out of that random corner" enemies, but more by well made scripted scenes, such as the first time you encounter one of those big arse demonic dogs (more like boar on mega steroids though). That thing rips through metal and glass to get you in that scene, and each steps makes the screen shake. I really liked that moment but it did scared me, I just didn't expect it. Other than that I'd have to search more extensively in my memory, I know I could remember more stuff like that but those moments I described above are carved in my mind for eternity.
S.T.A.L.K.E.R. for the win.