Silent Hill 2 for me as well. I was 19 when I played it and it still scared me silly. I would be afraid to go to sleep after putting in a game session at night.
Even after finishing it six times, I maintain that is just as scary/anxious as the other SHs, just play it on hard mode if you've already finished it before.
I think I played Resident Evil 4 after that. Like you rayne, didn't scare me hardly at all.
... Regarding an actual creepy scare, I'm thinking it was at some point during Silent Hill 4.
Part of it for me was the ghosts, they were always really creepy, did a ton of damage and it's hard to outrun them. Also walking into your apartment was terrifying - you never knew what would be waiting for you since it was randomized each time.