For me it's fatal frame 2 and silent hills p.t. An indie game called the groundskeeper gave me the chills too.
Edit1: Why is everyone saying outlast? It's not even that scary!
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Alien Isolation + Oculus Rift is by far the scariest game I've ever played! Games like Fear and Dead Space just use lame jump scares that startle you. Nothing truly scary about em. But after playing Alien Isolation on my dk2 I was shaking and had serious nightmares. I once almost punched my girl friend as a result when she woke me up!