Hmmm... a tough call
Two that spring to mind are from Eversion and The White Chamber. And a lot of Slinet Hill 3, though that has so many it's hard to tell.
In Eversion, the first time you see a hand, or the part where it immediately switched from world 5-1 to 5-5 or something. Also, 'I see you.' If you've played, you know what that last one is.
The White Chamber has a part where you walk down a hallway. Each time the screen changes the background noise gets progressively disturbing, and the backgrounds become more animated, such as a disembodied eye randomly darting around. It's an excellent atmosphere.
Silent Hill 3.... Has a lot. It was the first I played, and although I have 2 I've not played it just yet. (I got it last week!

) However... I'd say the first time you hear the Pendulums. They're movements arn't bad... it's the fact that them moving makes this horrible metal-on-metal grinding noise. Theres also the entire hospital area, which I count as the scariest level in the game.