Being as tough as I am, I don't think I've ever really been scared by a video game....
Mind you, when I was a kid, my younger brother would watch me play
Legacy Of Kain: Soul Reaver which would always give him nightmares, so of course that's the only game I would play when he watched me on the PS1
I also remember starting a stupid 'urban legend' when at school of how my copy of V-Rally was haunted by a ghost car and soon had the playground believing it.
The 'ghost' is actually the car of your best lap if I remember rightly.