Debode, I'm with you on the Oblivion zombies! Seriously, the first time I encountered those things in the Ayleid ruins I'm surprised I didn't unequip my weapon and make a run for it. But it was mainly that creepy ambient music that made it scary. Good thing I'm over such things.
As for my scariest moments:
F.E.A.R -> Yes, I know, many people have already listed this game, but, hot dang, was it scary! The worst were those brief yet horrifying encounters with Alma. In my opinion, F.E.A.R 2 loses in terms of horror to its prequel.
Dino Crisis -> Back in the day when I was more susceptible to being scared easily, this is one of those games that would make me end up playing from beneath my blanket. The ambient music, dark environment, creepy surroundings, and stalking dinosaurs added up to a good survival horror game. In my opinion, Dino Crisis is seriously underrated, just because it is overshadowed by more popular survival horrors like Resident Evil.
I have a few more, but those two are highlights. I've played Dead Space, and I'll admit it's scary, but who agrees with me that it gets repetitive and linear after a while... I mean, by the fifth or sixth chapter, you can already, more or less, tell what's going to pop out of nowhere and when it's going to do so. Before that, though, I guess it's scary.