I think that games can potentially be more scary or disturbing since you don't only have to watch but you also have to react in the game...To make an example I always found the whole zombie / linving dead concept laughable, but still old Resident Evil had some tension moments, mostly due to the fact you had no bullets and you character was as handy as a tank but still it worked better than zombie movies.
However atm the best examples of horror are still in movies imo, that's just because best directors and movie score composers generally know better how to bring tension to the audience. I'm talking about a small number of movies, in most cases horror sucks imo.







