One thing I’ve always found particularly scary are video games. Just like film, there are many sub-genres, but my favorite has to be survival horror. In survival horror, your character is hopelessly outmatched by some evil force, and only by running, hiding, and setting traps can you survive. A great example of this genre is a game called Clock Tower, in which you play a 12 year old girl fleeing from a giant demon through an abandoned city. I think these are the scariest because of the mismatch in power between the character you are playing and the thing trying to get you. The helplessness of the situation causes me to get anxious and puts me into a frantic mindset.
Another more recent example that I think is a bit more immersive is Outlast. In outlast, you play as a reported who receives an anonymous E-mail that a corporation is conducting illegal experiments on the mentally infirm at an abandoned mental hospital in the hills. your character goes to investigate and quickly becomes trapped in the hospital with the genetically altered mentally ill inhabitants, who have taken over. You have no weapons or skills to speak of, just a camera. Most of the power is out in the building, so the only way to see is the night vision on the camera, which you have limited batteries for. You spend most of the game running and hiding while trying to conserve what little camera battery you have so you can see in the dark long enough to navigate the hospital to an exit.
I’ve added a video of a popular YouTube gamer named Markiplier doing what’s called a “let’s play” (basically commenting on the game as he plays). I’ve chosen to start the video during a particularly scary part near the beginning, but if you want the full effect of atmosphere and ramp up, I suggest you start the video from the very beginning.