Frankly, I find that nearly all horror games just arent really scary. Particularly since Resident Evil seems to be the one that really set the standards, and I never thought of it as a horror game to begin with, since you have the ability to blast your enemies into oblivion with a variety of weapons. And they tend to use violence and gore instead of suspense and freaky things. Flashy does not equal scary.
The first game that honestly had me nervous is Five Nights at Freddy's. It COMPLETELY goes against the RE way of doing things. You're stuck in one location, the office. You have very limited resources. You get hallway lights, magnetic doors that require power to stay shut, and a camera, and that's IT. You cannot leave, you cannot run. You cannot fight Freddy and his pals; there's no hope of getting away by defeating them somehow. They're just too strong, powered by supernatural force, and too determined. And when you're seeing them in the cameras, they're just... so messed up. They never move when you're looking at them (with the exception of Foxy, once his patience breaks and he just charges at you), like some sort of freaky dolls, but they'll often be caught staring into the camera directly. Except when the week has progressed and they're clearly getting agitated, they'll sometimes do this freaky twitching thing when viewed in certain locations, which.... is very unsettling, and the noise they make doesnt help. Getting caught by them means an extremely sudden, very loud shrieking jumpscare, which just adds to the dread, and there's a constant sense of inevitable, unstoppable doom throughout. And there's no blood, no gore, none of that stuff.
As far as being scary goes, the game gets everything right for once in a genre that rarely ever does. The messed up lore behind it all just increases that, and despite that they are your enemy, the characters themselves are appealing and memorable, which is a very good quality to have in a game of any sort.
If there's another game/series that could actually make me nervous, I've yet to see it.
Of course, alot of this is all down to personal preference.