DbD is pretty creepy until you get used to it being a yawn fest chase game. The horror elements and creepo factor die out after you see every baddie.
AvP will make you poop yourself, especially when another player is a facehugger and you have no idea where they are, then as a marine you sniff around a dark room and immediately get them stuck to your face. The combination of the sound effect with the sudden alien looking thing on your monitor will get you, that's for sure.
I heard good things about that one crappy game with the sharks. It has some extreme balancing issues, which is why I haven't bothered, but the atmosphere is there. Play as divers, get eaten by sharks coming out of nowhere. Sounds solid to me.
I can vouch that Hidden was usually good for the fear effect. Hunting an invisible thing which one shots you and leaves you or your buddies nailed to a wall or ceiling is always neat.
Natural Selection could get terrifying at times. The memories of being the lone marine in some neglected portion of the map while the rest of my teammates built a main base still unnerve me, especially when you know that the aliens are watching you.
7 Days to Die is one of my favorites for playing with some folks over hamachi or something on Skype. You just sort of die and have your shit broken, assuming that you don't make a lame-o vertical earth pillar fort every night. There is something really creepy about three people huddling together in pitch black darkness listening to zombies shuffle outside or beat on the door, and since the zombies run at night, you can't make any noise or try to escape, because you have stamina and they do not.