EDIT: Read what I said about Thief 3 first!
Pteri: Yes, the first section, the forest, was fucking terrifying! You really should play a little bit more, though, at least until the end of the forest. After that, it loses some of the scaryness. The chaos of the forest just makes it pterifying!

Also, I've had
this game personally recommended to me by several people who are into horror games, and they say it's top notch.
I quote:
If you think Amnesia was scary, if it made you afraid of the dark, don't even try playing Scratches or you'll end up in an asylum.
No release from the shadows in here.
Also: The Shalebridge cradle in Thief 3.
Period.
That was the most fucking scary thirteen hours of my life. Yes, it took that long, because I had to keep taking a break, to calm my nerves.
If you don't think you're gonna play the game any time soon, take a moment to read through
the Wikia page on that level, taking care to open a tab to read all the other pages it mentions.
Seriously, it is drop-dead terrifying.
Actually, what the hell am I saying.
GO PLAY THE FUCKING GAME NOW!
It is most likely my favorite game in existence!
EEEEEDDDDDDIIIIITTTTT!!!
Read this instead!
http://gillen.cream.org/thecradle.pdfREAD THE WARNING!!
A few choice quotes from it:
"It is probably the scariest level ever made"
"Masterful psychology: make you hate one thing, then take it away in a way which makes you wish for its speedy return."
"“The heat must be of the dry variety” he urges, and “hot elements must be laid directly onto the skin.”"
"I wondered if there was in fact any way out of this place, or whether the real end of Thief III is to be batted around like a mouse in the diseased paws of some malevolent feline, forever."
"The Cradle’s in me. If you’ve played it, it’s in you. Even if you haven’t, by reading this, a shadow of my dread is cast on your mind."