Interesting thread.
That I think of it, there weren't any games that scared me, though some had moments that would cause your heart to jump up in your throat. Early on, it would be the dragons in Adventure, when they'd pop out of nowhere and grab you. Later, the demons in Doom and the Nazis in Wolfenstein would be the cause for a good gasp (and those little alien buggers in Redneck Rampage...what were they, anyway?)
As far as a good thrill, though, I would have to say that Starflight (PC) was the best I had ever played. The gameplay was so enveloping, you would actually forget that you were sitting at your computer desk, safe in your own home. It felt as though you were truly piloting that ship through the forgotten reaches of the galaxy, all alone.
I would be up into the wee hours with nothing but a small desk lamp for company, mining the inner planets of my home system for cash and fuel before venturing out amongst the stars. . .
. . .motion detected at x = -3, y = 4
chills!
. . .motion detected at x = -2, y = 3
. . .motion detected at x = -1, y = 1
pause... more chills!
Alien ship detected!!!!
That was an adventure