My top three would have to be :
(A tie between Penumbra and Dead Space, they both have their ups and downs)
1. Dead Space - Sets the mood really well, unique, and things tend to pop out and scream a lot.
2. Penumbra series - Sets the mood better than any game, in my opinion, its very dark. No weapons besides a pick axe, ever. So you have to get up close and personal with things(especially on hard mode, since things don't want to die either).
3. F.E.A.R. - Always has you wondering when "Alma" is going to come out again. Also the A.I. seems to always manage and sneak up behind you.
Whats the scariest for you, Newgrounds?