The first time a video game actually scared you.

[SnarkyJay]

I don't remember exactly, but I think the first game that scared me was Silent Hill. It's not the scariest game I have ever played (Fatal Frame 2 gets that trophy), but it freaked me out, and had me looking over my shoulder for a while. It's maybe not the first time I have been scared in a game, but it's the first one I can remember.

[PriestTroit]

DOOM 3!

I got it on my 13th birthday and played it at night, stopped, then my brother kept playing it while I was trying to sleep. Nightmares ensued. LOL
Also, Dead Space was terrifying

[PaulieXP]

Clive Barker's Undying. Criminally underrated game, the first half of the game that takes place in the mansion and then the monastery had me scared out of my wits. It was released back in 2001, published by EA who didn't know what a masterpiece they had on their hands so they didn't promote it almost at all. You can find it today on GOG. The graphics may be a bit dated true, but if you haven't played it, do yourself a favor and play this game.