One thing I really hate is an antagonist who does evil for no clear reason. It's so much more convincing when you know what the monsters' motivations are. Over-the-top villains spoil things for me too. Metal Gear Solid and Resident Evil 4 were great games, but the baddies were such cliched freaks, I couldn't take them seriously.
Disembodied Imagination mentions journals- and I agree completely- because I still get chills from the "itchy, tasty" diary in Resident Evil 1. I also loved that game because it got the scares just right. When you see the zombie turn for the first time (I mean, this is a total rip off of Night of the Living Dead, but still...), when the dog hurtles out of the window at you (I used to love having friends play the game for the first time, and watch them jump- because I'm a horrible person!), and when the camera goes to the hunter's perspective when he's coming to get you- these were all great cinematic moments.
I also think horror's a strange genre. If you see a comedian, you don't fight him. He wants you to laugh, and you want to laugh too, but when someone plays a horror game, or watches a horror film, they resist, they're like "ok, show me what you've got- I'm not scared of you". So the horror writer always has to really think of things from the viewers' persepective and do something that they're not expecting to take them out of their comfort zone. And I should know- I've written a couple of horror games!