Maybe creepy moments? I recall the space station on Killzone Shadowfall to be creepy.
What else? Using by mistake that item in FF8 that summon the Diabolos fight, that was kinda scary.
Hum... any boss confrontation when you feel overwhelmed by its power can be scary, like Lavos in Chrono Trigger when you are not that evolved.
Any boss in Bloodbourne without using the glitch or gridding like a insane person.