Old games: I found 'Weird Dreams' for the Atari very unnerving in the pure confusion of the different scenarios. It makes you feel very uneasy and confused rather than making you jump. It has frightening sounds also.
New(er) games: I don't think anyone mentioned 'System Shock II', might be wrong though. It is still bloomin scary and atmospheric if you are into that type of game. I only got so far before I had to stop and take a sanity break!