I can say that, bar none, the most I've ever been afraid while playing a game was Doom2, the Cyberdemon. Remember, this was back in the days before the internet for most people, so running around a level and suddenly hearing those stomps...well, you had no idea what that was, but you knew that you were about to get wrecked. And sure enough, there's this mfer with a rocket arm.
Great times. I remember running into that thing the first time while playing across a null modem cable with a friend. Middle of the night, tired and hyped up on sugar and caffeine.
Couldn't agree more. Some of the scariest set pieces in games for me were a combination of the whole environment, not just the monsters themselves. This is why Dead Space and Silent Hill are two of the scariest series, for me. Dead Space 2 and Silent Hill 2, in particular, are nonstop with the creepy locales that will have you looking over your shoulder in real life. The former is the only game that ever truly creeped me out to the point that I would get uncomfortable while playing it for more than an hour. The hospital and basement complex under the boathouse in Silent Hill 2 still give me nightmares.I think atmosphere and sound play a more important role than the specific character used:
Subnautica is hands down the scariest game I've played! But maybe I don't like deep water and what lurks in the unknown.
Alien: Isolation was pretty well done, I will admit, there were times the sound was so good, I had to regather my composure before continuing, it wasn't necessarily the Xenomorph or Androids.