Once again, with feeling:
ET Phone Home (Atari 800): Wonderfully creepy atmosphere as you wander around an empty neighborhood at night in search of phone pieces. Meanwhile, government agents stalk you to the tune of the Jaws theme. When you return all phone pieces to ET, he speaks to you with a horrible demonic voice from hell. I played this late one evening many years ago, and I can tell you that moment scared me out of my wits.
Rescue on Fractalus (Atari 800): Early Lucasfilm Games classic where you rescue downed pilots on an alien world. The catch is that sometimes, those pilots turn out to be gruesome aliens who pop in front of your window in a classic jump scare, then kill you if you don't turn on the afterburners quickly enough.
Mountain King (Atari 800): You explore underground caverns in search of gold and treasure, ultimately attempting to steal a crown that is closely guarded. The atmosphere is spooky, but the scariest part is that giant spider that races along the bottom floor. If you fall down, you'll have only a few seconds to escape before it jumps you and freezes you in its web, only to return a few seconds later to eat you.
Todd's Adventures in Slime World (Atari Lynx): Wonderful sense of weirdness and creepiness as you explore underground alien caverns. If you have a thing about bugs or maggots, this videogame will give you nightmares. The jump scares are provided by giant teeth that pop out of the ground without warning. It's especially startling if you're using headphones.
LSD Dream Emulator (PSX): This experimental art-house videogame was conceived as a surreal collection of lucid dreams imagined by its creator Osamu Sato. It's not "scary" so much as unsettling and eerie, and this sense of strangeness has given it cult status in the West. And, hey, this game actually looks better with the Playstation's notorious zig-zags.
Baroque (Saturn, PSX): A personal favorite, this Rogue-like adventure is filled with surrealism and dread, and addresses complex themes of religion, cannibalism, mental illness, trauma and suicide. There are occasional jump scares that really put the zap on you, but it's the dark, moody sense of the uncanny that sticks in your mind.