Somebody mentioned Obscure for the Wii. Do not trust that person. They are not your friend. I own Obscure and that is a horrible shell of a broken game.
I can't think of many games that scared me this gen, to be honest. Alan Wake started off incredibly scary but soon turned predictable. It needed better pacing. I guess I would recommend the first Condemned game for 360. It was pretty well done. There was that one PSN game that I tried. I planned to buy it but I never did. Can't remember the name of it, now. Anybody?