Penumbra, but only to an extent. I haven't really managed to find much that's genuinely scary. Penumbra creates an excellent mood, and it's the scariest video game I've played. It doesn't really hang with you, though. Once you exit that menu and get back out into the real world, you're not scared anymore (if you haven't played it with the right mindset).
A real and genuine fright comes from something you read, see, play, watch or listen to that haunts you afterwards. It has you afraid to look out your windows at night because maybe what you saw earlier will be staring back at you. You dread walking down the dark hallway to the bathroom at 2:00 in the morning because you're afraid of what might be concealed in the dark room at the end of it. This can last for days or weeks, and can cause nightmares in some people.
It's the kind of fear that occurred in you as a child, after your older sibling told you a scary story before bed, only this one is much more developed, and manages to affect your now mature mind.