I think OutNumbered! was the first game that really scared me as a kid.
I remember the first and almost only time I played it in the Computer Lab in elementary school, back in the Mac OS 5 days or somewhere around there. I played the game with black and white graphics, and it had crude PC speaker sound effects, or probably just a really shitty sound card, and the spastic bastard TV robots chasing you around the radio station almost drove me to tears. Gizmos and Gadgets had robot enemies, too, but they weren't nearly as terrifying on Windows 95.
I've still got a deep seated fear of that game today and would probably not want to play it ever again.
Other games that have horrified me both unintentionally and otherwise include Earthbound Zero, Tomb Raider, Ocarina of Time (
), Metroid Fusion, Final Fantasy 7, and Silent Hill.
Yes, I am a large vagina.