Eternal Darkness on the Gamecube easily. The Sanity meter was genius and genuinely creeped me out when I first played it (especially alone at night!). I was also 12 at the time as well so things obviously scared me more easily.
EDIT: The only recent game I've played that scared me is Resident Evil 7 - the first person view was a very good choice and made you feel you were in that creepy house.