I hear frictional's other game, Penumbra is quite good, but i think amnesia is the only truly 'scare the living shit you of you' game...
Amnesia looks pretty cool. Other scary games I played were Resident Evil, 7th Guest and Alone in the Dark. I thought S.T.A.L.K.E.R. was scary sometimes, since you never know when a mutated dog or a bandit can come to kill you.
I found another scary game, it's really good: http://www.penumbragame.com/ It's from the creators of Amnesia.
Nightmare house 2. You need half life two episode 2 to run it. AND ITS really creepy. Like its a thriller. Like for example Your in a dark room.No flash light.With flares. Then you would be like Then then then :S Then