I think trying to scare players might just be the absolute most difficult goal to have. I don't think I've ever pulled it off, and I've barely ever seen it done. A lot of the, admittedly great, scenes described previous would probably work in a movie, but plenty of them wouldn't work in a game. Games are usually held in rooms with people sitting around, bottles, cans, plates, familiar items surrounding everyone in an otherwise safe and serene environment. On top of that any, and I mean any break in the actual game allows people to drop out of character and discuss whatever they feel like. Immersion is key, and it's all but impossible in a normal gaming situation.
I once had a GM drag us all downtown (DC) to an old theater (connections got us in) that was due to be torn down in a few weeks. It was night, it was dark, it was six of us in that old theater, surrounded by creepy statues and furniture from hundreds of plays. We lit candles; our GM found creepy music to play the entire night. It was pretty amazing. And finally, and this is key IMHO, breaking character was frowned upon when at all possible. Sure we asked rules questions, yes people ran off to pee or refill a drink here or there, but mostly we all spent the entire night concentrating on the game, the music, the atmosphere. No one brought up a movie they'd recently seen, no one talked about ordering food.
At that point the content of the game itself was allowed to really take center stage, and it worked. There were moments, brief moments of real tension that night. In the end though, I was still sitting around a table with my friends, creepy as it was. There were still pauses for the rolling of dice, the reading of rules, the refilling of that drink. I'll always remember that amazing game, but in the end it still couldn't touch a truly scary movie. It was all fairly otherworldly, but not all that frightening.
It also didn't help that I didn't honestly fear for my character's life, I felt fairly certain we'd all come through the night just fine.