I have to nominate the original Alone in the Dark too...
But I remember when I was just a little whippersnapper, Ballistix on Amiga always frightened the shit out of me. It had all that gothic, ghoulish, almost satanic artwork. And the monster who announced the start of play by saying
LET THE GAME...COMMENCE
scared me too.
The intro music, with all the monks chanting, frightened me as well.
It's funny though...now I kinda like all that dark artwork (eg: H.R Gieger etc.), whereas years ago it scared me.
As for newer games, the original Quake didn't really scare me, but it is a scary game IMHO, with all that gothic architecture, and I loved it. It's particularly scary on Nightmare difficulty, where monsters simply appear out of thin air all around you...always keeps you on the edge.
BTW, I wish I could play Undying, but my computer can't run it.