I agree with the Cradle mission in Thief 3. Certain scenes, plus these wandering ghosts of past "inhabitants", really scared the shiznit out of me. I also found the whole concept of these Keeper Rune Sentries (or sth like that) rather scary. Thief 1 and 2 had the zombies and the Hammerite skeletons. Especially the "dragging chains" sounds the Hammerite skeletons make as they get nearer and nearer made you wanna run as far away as possible. I first experienced true horror in a PC game while playing the first Gabriel Knight game. Voodoo murders and the whole concept of Voodoo, plus that ethnic drumming soundtrack really brought forth some good scares.