As a kid:
- King's Quest 3: everything killed you in that game, a wizard teleported around and zapped you to dust, a cat tripped you when climbing stairs, cliffs had a pixel wide paths, a medusa would appear in the desert to turn you to stone, it was brutal. Most Sierra games were like that, but this was something special.
- Alone in the Dark: same reason and probably the first game with 3d models that I'd played at the time. Also the slow and bad controls helped in the experience. It became less scary and more annoying in the final segment though.
- Bioforge: Good story, and fights with tank controls (same as AiTD iirc). I think I found the story and its implications more scary though rather than the actual monsters / encounters. Too bad there was no sequel.
I wasn't a kid when I played these:
- Alien Vs Predator 2, the Marine campaign. That could be part of the gameplay being a bit bullshit for the marine, but the radar mechanic and the speed of the aliens (and those freakin' face huggers) made me nope out before I could finish it.
- FEAR. But this was mainly due to the creepy girl and the early jump scares.