Dead Space for me, followed closely by F.E.A.R. The latter really creeped me out at times. There was a moment where a light broke and shadows shifted, and I jumped and emptied half a mag into my own shadow on the wall, before I realized that's what it was. No other game came even close to getting me to jump at my own shadow. Dead Space still wins though, by sheer volume of scares, the Jaws-like sense of isolation and loneliness, excellent sound design (and how it propagated through vibrations in vacuum portions of the game).

I also quite liked Alien Isolation, a few of the Resident Evils, and even Alone in the Dark (A New Nightmare was my favourite). But none of these were too scary. I saw people mention Silent Hill series, I really liked Silent Hill 2, but it was just creepy, not scary to me. Almost melancholy, like Alan Wake.

There were moments in Dying Light that were friggin' terrifying (night time missions vs volatiles when you were still undergeared, or the scripted escape sequences where if you slow down or stop you die). Evil Within had its moments also, but felt too reminiscent of other games to really stand out. Good, but somewhat derivative.

I think the next level of horror will come from Virtual Reality. VR adds a sense of presence and scale that you just don't get on flat screen. Walking Dead: Saints and Sinners is a much more visceral experience when it looks and feels like it's your forwearm a zombie is trying to bite. Alien Isolation VR port, though quite weak, makes it much scarier. And port of RE7 and 8 in VR were superb, if a little jarring. Whenever Dead Space comes out for VR, I'm pretty sure I'll literally poop my pants from fear. VR just takes gaming to a whole new level, and will do marvels for horror genre.