Amnesia, Fatal Frame, Clock Tower 3, Calling and believe it or not, the Grudge Wii game, are games I consider scary. The Grudge isn't a good game at all, with no real plot whatsoever (much like the movies, eh?) but very frightening still.
Both Calling and Grudge are survival horrors for Wii.
Calling has you use your Wii as a cellphone to hear messages whenever your in-game phone rings, so you literally have a grainy and frightening ghost whispering in your ear. It also has a neat feature that makes scary faces pop up and flash in your face sometimes, when you turn around rapidly. It catches you completely off-guard. So the game has that tense hide-and-watch-the-ghost-walk-passed spooky atmosphere and is also filled with screamers. Mindless fun!
http://youtu.be/3qeyS4IN_hsGrudge will make you open doors manually with your controller and you'll never know if that Grudge kid is standing behind there ready to attack. It's nerve-wrecking.
http://youtu.be/o4Q6uKchCjsMedievil also scared the juices out of me when I was a child.