I've found SCP: Containment breach to be rather scary. It forces you to learn the rules pretty quickly (Look at this guy, DON'T look at that guy, run away from this one, etc) and the fact that you are just dropped in the facility, all alone, makes looking for a way out rather thrilling.
The great moments are when you encounter multiple SCP's at once, making you multitask your way out of gruesome death . "Oh shit, it's the statue.. better back up and oh, balls, 106 is spawning right in that hallway.. better make a turn right, careful not to let 173 out of my sight and... Oh, crap, is that 096 in front of that elevator?"[Massive amounts of screaming]
Second choice would be the Penumbra series. Had some amazing puzzles in it that were incredibly creepy, tense and just reminded you of some great horror movies too much. The exposition was slowly done through notes you had to read, gradually uncovering the horrible place you got yourself into, and the villains turned out to be not so villainous! Amazing story, great scares.
