Games can be considerably more suspenseful and fear-inducing than movies imo. Due to the pressure of the player taking the lead, controlling the action, escaping from or fighting against the enemy.. (the interactive aspect).
Apart of the few jump scares here and there, or the freaky-looking monstrosity that's chasing you, that's not what gets to me in all honesty. What is for me is the time you spend wandering around in the game either it's inside a big, empty mansion, outside walking in the barren streets with a thick fog and you don't know what's looming around, it's the atmosphere of the game not the action, and along with a creepy soundtrack/music it really puts me there..
And if i spend a considerable amount of time playing said "horror" game, like +3~4hrs, the imagery, atmosphere, the immersion sticks with me and stays in my brain for the whole day and sometimes more..
And when i get to sleep my subconscious or creative brain, is still wandering that empty house or in that thick fog etc and fantasizing about it. It's just stuff my brain's doing by itself. It's just like when you study hard for an exam, and you spend too much time on it & when you sleep you'll dream about studying that very same thing you were working on when you're awake..
Same thing with video games, it's like an obsession or a part on the brain that makes you repeat the stuff you do when you're awake, (like in this instance) playing said video game, in order to expand your skills at it and helps you immerse yourself more in it..
Even then i wouldn't call it "scary", it just a mindset or an immersion mechanism to make focus more on the task at hand.