Title says it all. For me personally, I would have to say either S.O.M.A or Amnesia: White Night. Both got to me on a physiological level and when I finished both I had to sit there and question everything.
Edit: Seeing alot of PT, it's a shame it got cancelled because there was so much potential. And the spiritual successor to it Allison road, which also got shut down
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Not sure about scary but Bioshock had some quite disturbing scenes like the dead family around the table or the room with the hanging bodies, you and to crawl to get in it so did not not see them at first till you stood up and then were right amongst them.