Resident Evil 4 did a great job IMO, at least with those spiky, weird-breathing black humanoid things. I was effing scared of those because I knew I had a good chance of dying whenever one popped up. The element of interaction in videogames makes them more capable of invoking fear than movies; only as a player affected by what's in the game do you reel personally threatened by what could possibly be around the next corner.
I don't know about anyone else, but I find videogame scenarios in which the player is being chased by dogs absolutely terrifying (in an exhilerating way). I got freaking chills up my spine in Castlevania 64 and it still got me in Resident Evil 4, years later.
Jeez, if they'd just make a 3rd person DOOM game already, with a strong storyline and lots of suspense. And great music. Maybe some demon-possessed dogs thrown into the dark corridors of the Martian settlement...I'd totally dig it.