I didn't expect Fallout 3 to be scary. The horror hit me like a ton of bricks. The game doesn't flat-out scare you like other games, but the actual setting has a sence of unsettling dread. Walking through the streets of the radioactive wasteland is creepy day or night. It's easy to become too immersed and find yourself nervous and down-right scared.
It's a wonderfully horrible experience that is not to be passed up.