OK. For me, the first one was probably Doom, it was great
Also Alone In The Dark was pretty nice, made me really jump from chair couple of times.
After that... years passed (I think), and finally Half-Life gave me some chills. Any experiences about other games or personal experiences? C64 had couple of horror games also, and those were REALLY freaky... except that graphics were horrible, but sounds were pretty good.. Actually too good for me, seven years old child, who was sitting alone in the dark with computer, while parents were gone from home...
