Corpse Party for PSP. I developed a fear of dying in the game since I'd be seeing a 2 - 20 minute scene of the person or the people dying... Grotesque or mind breaking way.

Second would be Amnesia: The Dark Descent, but only because I watched Let's Plays before playing it, reason being that my current computer couldn't play it. When I got to play it I wasn't nearly as scared as I should've been.
But there was some moments where I couldn't remember exactly what's happening, like in the prison. I heard a grunt's voice, rushed into a prison room and shortly found out that the grunt was in the very same room. Couldn't escape in time.
also the moment where the brute had to be distracted so that I could go past it. the adrenaline