I'm strongly affected by creepy atmosphere, so the games that tend to scare me most are the ones that involve moving through dark, disturbing areas - especially when there's no enemies around to steal your focus from the surroundings.
That's why I've never gotten more than an hour or so into Bioshock, or Alien: Isolation. I even get a bit wigged out in Skyrim or Fallout 4 when I'm in vaults or other underground dungeons. Actually getting attacked by whatever is usually a relief in those situations.
I find that in a lot of games the feeling of being found or hunted is much scarier than actually being caught.
For example, in FNaF (It's a good example, whether you like the series or not) sitting there whilst murderous machines possessed by the souls of dead children are hunting you gives me such a feeling of absolute terror that I close both doors and pray that I don't run out of power, however when I get jumpscared it's nowhere near as bad as the atmosphere was.
The Ocean House Hotel from Vampire the Masquerade Bloodlines, its not as creepy or messed up as some of the other things mentioned (Shalebridge Cradle *Shudder*), but it makes me scared every time with the random flying objects and laughter and the story behind it involves heads in washing machines.