I can't really pinpoint a time where I've been scared as a player (although I played in a Werewolf LARP at a con once where the DM started by tying us up and blindfolding us... freaky much?). But I have scared the bejeebies out of my players in a good old-fashioned D&D game.
The players had to cross a field. That's all. The field was full of goats. Harmless, right? But once they'd all climbed over the fence, they realised the goats had stopped their meandering, chewing on grass, and casual bleating. They were all now staring directly at the party. Everywhere they went in the field, the goats were staring, silently, watching their every move. As they pressed on, a single goat stood in their path, and let out a low, gutteral "Baaaaaaaah." The characters decided to circle around that goat. That's when one of them got butted in the back. No damage, just an angry butt. The character turned around, and there's a goat, silently staring at him. They keep moving, and another gets butted, followed by the deathly "Baaaaaaaaaaaah." When they would turn around to see what butted them, they would get backbutted by a different goat. But every time they turned to see the perpetrator, it would be standing there, silent, or occasionally baaahing with malice. They broke and fled the field. It never occurred to them to attack, or do anything really. The idea of being attacked by goats was too overwhelming.
Good times.
