Depends on your age really. Younger people who are still scared of scary monsters and jump scares will find games like DOOM and Dead Space scary. As you get older or your maturity gaming wise gets better, you begin to get bored or used to monsters and jump scares, so games with good atmosphere like Amnesia, Penumbra, and Silent Hill become more enveloping and therefore more exhilarating.
Problem with horror games is that they are not actually scary, just tense. True horror would have to rely on actual fears. No games really exist now that can be sold to a non niche area of the market and be called scary.