First of all, Merry Christmas.
I've often wondered the same myself. I think anything can be scary under the right circumstances, but with a console that doesn't even have any text-rendering built in, you're pretty screwed if you wanted to chill anyone with a psychological horror game. Combined with the fact that sprites are (by default) 8x8 and the playfield isn't too much of an improvement, you couldn't even really make scary looking graphics on the 2600. Even the audio chip holds you back, as the scariest sound you can make with it sounds like a robot having a heart attack.
That said, there are definitely some freaky moments in Atari games, just because of how strange or unexpected they are. I know the bat in Adventure used to always freak me out, and it's just a blob of pixels that looks vaugley like a bat. So maybe instead of trying to make a traditional horror game on a 2600, you'd have to get creative and find a way to scare people without resorting to horror cliches like loud sounds and scary images. But if that's what you're planning on doing, why would you make it on the 2600 in the first place?