I think I'm going to have to go with Eternal Darkness here too, for the sanity effects. It was difficult to know what was actually real and what wasn't, which made for a fantastic atmosphere, but also one that scared the hell out of me. Vanishing inventory, giant/small enemies, scenery changing, EXPLODING when you try and do certain things, and of course the numerous screen warps...damn, that game was all kinds of messed up. Without sanity, it was just creepy. With it, it was just plain terrifying.
Alan Wake gets a special mention for keeping me on my toes through foreshadowing, though. Picking up a novel extract talking about hearing a chainsaw, and then hearing one a few minutes later, had me jumping at literally EVERYTHING that followed on from that. Most of the time it was also foggier than Silent Hill 2 and the enemies were blurry shadow men that moved very quickly a lot of the time. Freakin' HELL.
Also, Regenerators in Resident Evil 4. I don't need to go into detail here.