AD&D: Treasure of Tarmin (Intellivision): turning around a corner and suddenly fronting a wraith scared the crap out of me.
Thief games (particularly the haunted cathedral and the catacombs and "Escape!"in Thief I and some missions in Thief II, I still have to finish T III, but the Abysmal Gale ship was moderately scary)
Hexen I: lots of scary levels
Heretic II: the first town
Ecstatica II (some locations)
Gothic (some locations)
Edit: if I must limit myself to "I don't know why", then, some strange atmospheres in Ecstatica II, Hexen I, Heretic II and Thief I,II,III