Silent Hill 3, mainly because it was the first SH I'd ever played in the series. Being so unfamiliar with the dark and disfigured otherworld, I'd just about get scared shitless going through a door due to the fact I had no idea what or how many things might be on the other side. Even today if I play it, I have to stop and look at something and say, 'what the hell is that?'
Played SH2, wasn't too crazy about it, tho. Getting chased by Pyramid Head sucked, but to be honest I was more intimidated by Nemesis from Resident Evil 3...probably because he was relentless, whereas PH would willingly leave one of the battles. In the Apartment he doesn't attack you, at least from what I remember. It's been years since I played SH2, so I wouldn't remember very much.
Fatal Frame is creepy, but I think the reason I don't get scared easily playing it is because some of the ghosts piss me off...like the ones that constantly warp and move around and...argh emotion_bigvein