Nothing has scared me (yet), but i have been a little disturbed by games such as Dementium (DS), Silent hill, and a few I can;t remember the name of S:
Silent Hill series, perhaps the old Resident Evil games (on the PS1). What really made the old Resident Evil games scary was the thought of not being able to save until you found a typewriter ribbon! Noooo!
I did not find Resident Evil 5 to be so much scary (certainly not as much as the old ones) as it was an action game. Especially because 90% of the game took place during daytime.