Not a 'song' song, but on nightmare creatures the music to the first level is THE scariest tune I have ever heard. Generally just a very eerie piece with people's whispers mixed into the background and reversed, so you try to decipher what they're whispering, but can't quite make it out. Putting that on at night when the house is empty gets me looking over my shoulder for sure
I don't really know many scary songs by bands. The intro to Dantes Inferno by Iced Earth up to around the 1:35 mark is quite haunting - highly recommended.