Well don't know much about non-horror that would have scared me but in horror games.
Nursery in DS2 is way too messed up, first time I played it I think I peed a little in my pants, way too jumpy for that. Also Doom 3, god damn that game, can't wait for Doom 4.
Also don't forget FEAR. It's filled with moments that will scare the living hell out of you when you play at night in a dark room and headphones on, makes you look at your door all the time