I thought the ghosts in Metro 2033 were scary. No, really...
Anyway, I played FEAR when I was ~10. REALLY scary. We were three kids playing it around 5 PM every Wednesday during the winter (it was dark). Man, that game scared me. We turned God mode on just to get from horror moment to horror moment quicker
I tried the FEAR 2 demo when it came out and although I'd grown older, I still got scared. IMO they also improved the whole thing by adding a bunch of subtle elements. The school was terrifying and when you looked around, you'd notice creepy drawings and ****. There're also multiple times in the demo where you hear a noise or the "scary music" and if you turn around quick enough, you see Alma right behind you. That demo seemed more thought out than the first game. All kinds of little subtle things that freaked you out.
Tried Amnesia recently. Scares the **** outta me. The whole "you ain't got no weapinz"-thing kills me. When something scares you, the sound of a nice shotgun round in someone's face helps you relax. Amnesia doesn't have that...
FEAR < FEAR 2 (although it's more action than the first, it's still horrible) < Amnesia
Dead Space doesn't build up an atmosphere in the same way, but scares you by making something fly up in your face. Not the same. Might be scary, but not the same.
The cool thing about horror games like Amnesia is that it builds up an atmosphere and let's your imagination do the work. Yahtzee described this phenomenon best.