Alien Breed 3D is pretty scary. Especially the audio of the aliens - you can hear them but where the f**k are they.
Alien Breed 3D 2 is also scary - for different reasons (especially the bit where the system requirements are listed!)
Atmosphere wise, Clive Barkers Undying really does set the scene well. Very atmospheric but otherwise dull to play.
Couldn't get into resident evil - my m8 things it's the best thing ever but me, well I have my doubts. House of the dead 3 on xbox is pretty scary with things jumping out at you and the camera swinging round all the time. Good game though.
Lets' face it - we're all a bunch of wusses!