Nice call on Parasite Eve. It's my favourite RPG of all-time. It scared me and gave me some memorable moments but I'm not so sure it's the scariest game ever or anything. Definitely had its moments and creeped me the hell out.
I voted F.E.A.R. because as much as I love games like Silent Hill, F.E.A.R. was the only game to explicitly give me nightmares. I know the gimmicks it uses doesn't work on some people, but it did for me. The mixture of supernatural and the fear of being alone against soldiers and otherworldly beings was done really well.