I remember the first game to actually scare me was Resident Evil 2. This was the first game I ever played with my new Dual shock controller (gasp). Does everyone remember that part towards the beginning where you walk by a series of boarded up windows? I immediately figured something was going to jump out and scare the bajeezus out of me so I walked incredibly slowly.....and nothing happened.
a bit later after doing some puzzles and such I walked back by that part without paying attention, and since nothing happened before, did not expect a thing. Next thing I know zombie arms are grabbing Claire and the controller was shaking like mad......since it was 3 am and dark with no sound before this I was legitimately scared and dropped the controller.