Amnesia: The Dark Descent
In games like Bioshock and Deadspace, the player is given weapons, and the enemies are scary until you figure out how to blast them to pieces. Once you conquer them, they're not scary.
Amnesia: The Dark Descent doesn't give the player any means of defense. All you can do is run... hide... don't look at the monsters... hope they don't notice you and go away...
It's very effective. Now this is an interactive movie (unlike certain other games). It puts the player in the middle of the story, making the player the protagonist, immersing the player in a horrifying situation and doesn't let you conquer the enemies. You stay vulnerable the whole time. You stay afraid.