One of the key components of good horror in games is making the player feel like they are vulnerable and weak in comparison to the dangers they're facing, and messing with their minds by making it seem as though they are constantly about to run into trouble.
Call of Cthulu: Dark Corners of the Earth, is a perfect example of a game which scares well. It has its fair share of "jump" moments but a lot of the horror is in the weakness of your own character. You can get injured in multiple areas of the body, and these injuries have different grades and cause different effects. Take a fall from a height and you'll end up with a fracture; get slashed by a monster and you might have a bleeding torso. Each type of injury requires one of four types of medical supply which you keep in a box, and rather than healing you instantly, you have to fiddle around in the box for ages and apply the bandages etc. If you're cut then you'll eventually bleed out. A broken arm makes your aim bad, a broken leg makes you walk slowly...
Also, your character has a hidden sanity level which is affected by seeing nasty things (like a melted corpse or a pit full of rotting bodies). Your vision blurs and tunnels, you breathe heavily, the screen tilts and eventually you kill yourself. The fact your guy is scared of heights is also a problem - don't look down when you're up high!
Half Life 2 did a good job of walking the line between horror and fun. The whole Ravenholm level was very unnerving and the zombies are unsettling creatures. They're weak and easy to take out, but the thought of what they are, what they used to be, and how they became zombies, isn't nice. Setting them on fire is similarly horrible. It's a different kind of horror where the player's values and sense of morality feel threatened, rather than their physical self.
Some other components of horror:
1. Instant death. There have to be a few courses of action which result in instant death for the player.
2. Breaks in the tension. Safe zones where you can rest or save, or a limited buddy system (where you have backup but only for very short periods of time), actually add to the horror effect overall. When you're out there on your own it makes you yearn to be back in a safe place, or to have the reassuring presence of another person with a gun.
3. Force the player to commit despicable acts. This has serious psychological effects and makes players leave a gaming session feeling dirty, drained and exhausted.
None.