Next is Left 4 Dead 2. Now there are many things in the game that could go here but...

she is it. in the opening of the game she freaks you out. But in the game if she is paired with any of the other special infected of if she's near a horde of zombies she can really ruin your day.

Fallout 3 is on the list for the fact that once it hits you that walking around the wasteland is extremely lonely and no all its cracked up to be, you start to get paranoid about your surroundings. Which can make you talk to yourself, which freaks people around you or in ear shot, or you start playing better then you normally would ever play a game.

Now it is very amazing the first time you step out and see your eyes on the wasteland, but spent a few hours just wondering around and you'll get the feeling.

Mass Effect 2: The first and only time you get a chance to see the reaper is when you face it. The scare factor is that it is fueled from humans and that is just creepy. The look of the thing is a combination of a T-800 and some puppet zombie. Once its over the next cut scene sets you up of the next game very well.