FEAR stands out in my mind, not as a game that 'scared' me - but was a one stressful encounter after another. Atmosphere really made that game, from the effective AI to the little girl filling hallways with blood and fire. Some serious WTF.
I
hated the Sewers level in Shadows of the Empire. It just creeped me out.
I'll never forget the first time I played Resident Evil 2 and the licker flew past the window. It was 2am, thunder/lightning storm outside and me and my friends just looked at each other and no one wanted to take the controller and go through the door (where you actually encounter the monster).
The standard scare/creepy monster for me in games are the crawling/hopping kind. Headcrabs (poison ones especially), the face hugger slimes from Duke Nukem 3d, the spider demons in Doom 3.... just do not enjoy fighting them. I've learned to deal with Headcrabs - but I don't think I'll ever get over the slimes in Duke3d