One of the guys at work said that F.E.A.R is scary, so I bought that. I haven't completed it yet, but it's not scary and it relies too much on shooting people for my liking.
How far have you got?
I only finished it last week, but thought it was the first game to be truly like a real horror movie (well.... Doom 3 was like a really bad horror movie).
The use of peripheral action and sudden visions was excellent.
I wouldn't say "scary", more nerve-wracking (there's one scene where you climb down a ladder - you'll know it if you've got there).
But the ending is pretty scary.
I also think FEAR handled the darkness amazingly well. Doom 3 relied on everything being too dark to see so you couldn't make out zombies until they were almost on you - FEAR starts in the morning in bright light and slowly gets darker throughout the levels, until you're trapped in a kind of nuclear bunker/testing facility without lights.
In short: Give it time