I would like to throw one out there nobody mentioned and that was F.E.A.R. it was a pretty freaky game... Screw that little dead girl
Scariest game, I agree, but the members here are talking about scariest 'game over' screens, not the scariest game they've ever played.
And speaking of scariest game over screens, I agree with someone here who pointed out the Resident Evil ones, especially no. 4 and 5, especially when it comes to some guy wearing a sack over his head who chainsawed the main character if you are unlucky. Made me uncomfortable watching it at first, but after a while, you get irritated by it and just want to fill him up with lots of lead to get rid of him fast.
Oh and by the way, welcome to the forums, azazeal.