With Stalker, the creatures themselves are horrifying in their own right, being grotesque mutations and all. They are also incredibly threatening with lots of shock factor. The bloodsucker has its invisibility and speed. The controller has its drastic mind-fuck attack.
But the ambiance is what really does it. The locations are wonderfully detailed in all their decay. The ambient noises are perfect. The pacing as well. Your first time through, you really don't know when the game is going to throw something at you. The locations are empty enough that you know there will be danger, but you have no idea when. Great suspense-building.
Throw on top of that the creativity with the monsters themselves and the unique things they do to fuck with you. The controller starts making you hallucinate and hear things, for instance. The psi-emitters are hyper-paranoia inducing mind-fuck marathon gauntlets. The poltergeists are a total mystery at first. Objects just start launching at you and creepy noises all over the place and you have no idea why. The first time I played the game, I actually went through the entire first lab alternating between sneak and panic while dodging random projectiles, because I didn't realize that the poltergeists were just mutants that could be killed and the red shifts and noises were caused by the boss at the end. I just thought the place was deadly haunted and I had to survive it trying to kill me until the end.