Halo 2 flood levels. First time playing through it was very eerie.

Okay, seriously? Four pages, and not a single mention of Fallout 4's Salem Witch Museum?

I remember the dwemer ruins in Elder Scrolls 3 being scary as hell.

Oh yeah, the original Tomb Raider had some serious brown trousers moments, usually involving some new unexpected monster appearing.

And remember the drowning theme in Sonic 1 & 2? That is the sound of sweat and panic.

Came in to say this one. Came out of nowhere.....

The opening of Metroid Prime on the frigate Opheon. 

When a Tyrant like 30 levels higher than you spots you in Xenoblade Chronicles X.

When Deviljho shows up unexpectedly in Monster Hunter Tri.

 The Well and anything involving Redeads in Ocarina of Time.

Damn straight, I'm convinced that fucking thing took several years off my life.

Wolves in Tomb Raider ps4

Bloodborne, any time I enter big empty rooms.

Nintendo games have a history of scary shit in them.  I remember the first time I entered the first dungeon in ALTTP, the Eastern Palace... I immediately turned around and left because the frickin MUSIC creeped out so much!

Others are the encounter with the Chozo ghosts in the Hall of Elders in Prime 1, a good chunk of both Ocarina of Time and Majora's Mask, the underground pipe maze / caverns in Mario RPG, dealing with Jaws on the Aztec level in GoldenEye, the Skedar in Perfect Dark, and the scariest Nintendo game moment of all...

...Bowser suggesting that Peach is Bowser Jr's mom in Super Mario Sunshine... THE HORROR!!!

I remember being quite freaked out by the weird enemies in Uncharted for the first time, not sure it's classed as scary though.

Swimming in the water in Fallout 4.

While it's debatable whether it's a horror game or not, The Last of Us is mostly action rather than horror.
But holy shit, the flooded basement part is the stuff of nightmares.