My vote goes for Tomb Raider II and the floating islands levels. The game is a relativity normal globe trotting affair for Lara until she gets transported into the fucking shadow realm here. This level gave me major scares as a kid since you're traversing a giant void being chased by animated statue warriors out to kill you.
Kind of an obvious / lame answer but I always enjoyed playing Minecraft with my friend back in the day, it'd be just the two of us with no monsters but we'd still hear ambient noises and get creeped out.
~~There's also horror in Kor, if you know how to find any / all of the three easter eggs~~