There were a few, but none frightened me more than System Shock 2 - especially since it made so extensive use of surround speakers and used it for gameplay (a lot of the time you cannot see enemies and need to trust your ears - they could be coming from anywhere, also up and down. A frequent technique would be to carefully look around when you hear an enemy, so that the head of your avatar would move... then carefully listen how the direction of the sounds change, etc.). So, it really was a "game" in that you were not just a passive receiver, but actively involved and immersed in it - and this additionally boosted the fear-aspect of the game. Never play this at night!
About rescue on fractalus - yeah, i found that interesting when i was a kid too. However, the shock-situations only "shocked" me... they didn't deeply frighten me.
Another game which made me quite affraid but whichs name i cannot remember, was a doom-alike on the PC, with the setting being some military base on another planet. The thing now was that there were some enemies which were normally invisible - only when they were already directly in front of you, their image would suddenly and flash up while they attack you, then quickly fade away again until the next attack.... it was pure paranoia.
- Lyx