I can't think of the scariest game I played, but I can think of one that I have run.
I ran an one shot of Werewolf first edition for my brother and a friend in the way back. You can find bits of it in prior World of Darkness related posts. While investigating the murder of their Sept, they discovered an enemy who was using mirrors to move through reality and other nefarious places best left to their elders. They went into those mirrors and nefarious places trying to capture the person responsible for skinning their Sept-mate alive. They never did catch him, but they did confront some nasty demons and shred them with their claws.
The scary part was due to the fact we were playing late at night, in a house that was cramped, with the lights turned down low, and we had to be quiet as to not wake the friend's kids. This led to a very spooky evening of good fun.
Now, if you want to know about the most terrifying games I've run. . . well, those would involve Kult and All Flesh Must Be Eaten, but we're not talking about terrifying in this post, now are we?