Thief 1 - One of the last levels inside some house where the interior was all space-disoriented and whatnot. The creatures in that level freaked me out. It's been a while so sorry for the lack of details.
Unreal - All the lights go down and all you (barely) see is this huge creature running towards you. First Skaarj encounter.
Doom 3 - Being able to hear a zombie approach you from behind, coming from only 2 speakers!
Fear - Various parts. When you go down a ladder and see the little girl right in front of you.