OMG are you kidding!
Any scary video game I've ever played was at least 3x scarier that the scariest movie I ever saw.
QFT. I'd say it has to do with the interactivity. Even with the proper atmosphere (lights off, big screen, surround sound) watching a movie is still more limited with how you interact with it. In a game since you control the characters and the scares come up responding to your actions it seems far easier to scare you.
I remember Doom 3 freaked me out the first time I played it. Lights off, surround headphones on, very freaky at the beginning of the game.
Alone in the Dark: The New Nightmare on DC wasn't scary per se as much as some other survival horror games are but when you play as Aline and can't fire a gun back and you know you have to run the atmosphere does become more tense as you genuinely try to run from enemies.