Exactly what it says on the tin. What's your favorite game that scared you? That includes games that aren't meant to be scary, but still had some part that creeped you out.
Like those statues in Majora's Mask. *SHUDDER*
Personally, mine is the Slender game. Holy tortoise shells of doom, that game makes me jump more than anything! He just stands there. MENACINGLY! AUGH!