Haunted House on the 2600 I think had to be one of the first games to scare me.

The 7th Guest on PC had a scene that had me jump out of my seat. I was playing it at a friend's house at 6am and blurted out a "JESUS!" at one part that I woke up his entire family.

The infamous hallway in RE1 had me jump when I played a demo of it at a game store. My friend who was working there got a good laugh.

I remember playing Revelations: Persona and being unnerved by the loading screen and some of the fights.