Ocarina of Time: bottom of the well.

Destiny, the level where you walk through pitch black caves and then in reverse after unleashing the beast, especially once the restricted spawn message comes up.

KZ SF derelict space ship level.

Bioshock 1

Resistance 2 - the level where the entire suburb is zombie cocooned and then they all burst out.

Dunwich horror bit in FO4

I was extremely horrified by quite a few games, like with Mafia 3 recently when a cop arrested me by riding over the water was terrifying.

Also jumping from a building in Assassins Creed unity into a hay stack that dissapeared making me drop endlessly in a black bit with more and more people walking over me, was completely shocking.

Also I remember playing Oblivion on the XBox360 and my character was walking and suddenly shot in the air like miles and miles in the air in an instant, i was shaking

Bugs are scary in real life, but in games, bugs are like horror games.

The vast lonely open fields of Shadow of the Colossus.

Pokemon Platinum, when giratina jumps towards the screen on spear pillar. Scared the crap out of me when I was watching chugga's LP

Winston following you around in Tomb Raider...

The Shinra Mansion as a child.

Drakengard's horrible baby ending as a teenager.

Several Super Mario Maker levels as an adult. Holy crap I can't believe people can make that game scary, but it seems a little human ingenuity can make anything terrifying.

I've always thought Metroid's atmosphere fits very well in horror/terror. Being lost, alone in space where every alien can be an enemy is rather scary.

Half Life 2's Ravenholm. Seriously, it made me uninstall the game for a while.