I'm the same way, although maybe not to the same extent as you... I've jumped a couple times playing Skyrim, but that was more because I turned around to find a Draughr in my face than it was because I was scared (Startled and scared are two different things).
Although I'll admit there were a couple side quests I did that made my skin crawl a little bit, usually the ones involving abandoned houses with some kind of mysterious murder or something... Nothing that made me want to turn the game off though.
What gets me is stuff like Silent Hill... I remember playing Silent Hill 2 way back, I had rented the game, played it for half an hour, then returned it... I just couldn't do it.
Same with Amnesia... I downloaded the demo on Steam... I never managed to finish it, I got to the section with the flooded basement, when I saw something crashing through the water after me... I nearly shat myself, paused the game, cooled down... quit... never touched it again.
Long story short, it's more the psychological mind games that creep me out than it is imagery or gore... Zombies? Meh... If I can see it... I can kill it... therefore I'm not afraid of it... But the second I can hear something or feel its presence and have no idea where it is, or when it's gonna come out... those moments usually make me concerned that I'm gonna have to change my underwear.
And worse are moments when you know nothing is after you, but the game makes you feel like something is anyways... you know your safe, so why is it so god damn scary anyways?