This is just a general video games thing, but when you're far into the game and you just get the feeling that something bad is about to happen. Some kind of mass, or huge boss, or trap or "something" that is going to cause you a lot of trouble.
I've never found anything really scary though, just ominous. Scariest though would probably be when I first fought the flood in Halo 2, I was in co-op with a friend and was shooting at shadows, ending up killing my friend Xd
I was really scared when I played as Marine in Aliens vs. Predator 2. It was really horrifying to think that in the next room you need to go all by yourself, and you KNOW that there are bunch of hissing and nervous bugs. And of course, power was always off
And Half-Life had some scary moments, but just because you fell so utterly alone in that god forsaken Black Mesa facility. It creeps you out...