I think a large element of fear is based around what you can vicariously achieve through the protagonist.
For example, Alien Isolation is scary as hell because you cant really fight back. Add atmospheric environments and sound/music and it is a paint by numbers solution for fear!
But I think there is a big difference between horror and psychological suspense. For example, a lot of what Stephen King does is creepy and weird, not all out frights, gore and horror. It is that psychological suspense mixed with atmosphere and good story telling which lures you in. Look at the Shining, the Langoliers, Tommyknockers and Pet Cemetary for examples.
Someone mentioned Skyrim - that game is never really scary because you can wade in and kill whatever it is you need to kill quite easily. Additionally the AI in Skyrim is woeful, and as a player you quickly figure that out. Compare, for example, the majority of fights in Skyrim to those from the mission In the Claws of Madness in the Witcher 2. The battleground as it were, is small, restricted and you have nowhere to run. Additionally the Wraiths are bad ass and hard to kill if you don't know how, and even then they are a pain in the backside. In over 300 hours on Skyrim I didn't struggle to kill anything.
In Dead Space the fear is exacerbated by the god awful camera angles and controls. If Dead Space was a 1st person game it simply wouldn't work. Add the hordes of creatures and you can quickly become overpowered if trapped and that adds an element of fear because we naturally have a fight or flight instinct. When the ability for flight is reduced or removed, and we are in a weak position regarding a fight we naturally feel frightened. Alien Isolation taps into this perfectly,as does Dead Space and Amnesia.
Of course most of it boils down to the willingness of the individual to become absorbed in the experience. Playing alone in the dark (unexpected punnage!

) with headphones on is probably more scary, in my opinion, that in daylight through speakers. The first adds an element of intimacy to the experience whereas the second creates detachment.
However, some people have to accept that they are not psychologically cut out for creepy horror. My wife isn't, she hates it and it scares her. I can take it or leave it. But she will gladly go into a room with 30 kids and be in control and a productive teacher. I would be bricking it. It reminds me about how fear is subjective and often focused on certain things. Like the guy who can climb Everest without batting an eyelid, but public speaking makes him a shaking wreck.
OP - my advice would be that if you do not like frightening games, do not play them. If you want to try and combat this fear, jump in at the deep end and crack on. Face that which you fear the most and find a way to work with the fear and get past it.
For me it was spiders. I watched Arachnophobia as a child and it instilled a pathological fear of spiders into me. For many years I couldnt even sit on the toilet without checking there were no spiders under the seat or under the sink right next to it. I had to check my shoes every time before I put them on and I used to sleep with the light on. Other experiences that happened to me regarding spiders also did not help.
But one day I was in a situation where I was with someone that was more afraid than I was. A spider needed dealing with and I decided to face up to it. Since then I have always done my best to interact with spiders whenever I can. I will never kill a spider in the house, but I will put it outside. My fear has greatly diminished. I think generally it is the mental relationship with many things that you have to tackle, and try looking at it from a different angle.