Something that's clever. Something that has little tidbits through the entire game, and when you put it together it frightens you.
Shadows, noises, atmosphere. Shadows of something that is to come. It's there, but you can't confront it.
The feeling that something is following you. You turn around, nothing is there. You turn around to continue and it's there staring you dead in the face. And abrupt tragic music keys.
Absolute silence gets to me too.
Scenarios like this:
That...actually scared me. >_>