Mine is Silent Hill 3. Its subject matter revolves around the fears of a teenage girl, like death of a parent, puberty, unwanted pregnancy (with a demon fetus, no less), mirrors (THAT ROOM shivers), and stalkers. The atmosphere is so oppressive and I cant play the game without having something else playing in the background, its that horrifying. I managed to finish Silent Hill 2 last year, which was like conquering my own fears. One day, I'll finish SH3. One day.
Mine is SOMA. Not necessarily because anything about the gameplay is scary, moreso just because the ending is so... difficult, that it's painful.
SOMA may be my second favourite game of all time. I highly recommend it to everyone. Even if you don't normally do scary games (like me, I'm a total wuss), there is a safety mode where the monsters cannot kill you. This makes it tolerable enough for even people like me to experience the game, and its amazing atmosphere and story.
I cleansed my SOMA trauma with The Talos Principle. Very similar themes but viewed through a hopeful lens.