Looking at videos like this and many many (too many to list) videos and articles(http://www.youtube.com/watch?v=0KIaZvu39Po) I believe I have an idea what makes something scary.
1. Being alone
Honestly, kind of obvious
2. Limiting senses (sight in a video game medium)
This makes it so people are on edge because they don't know what or when something will strike. And if you can't see a lot then they can come out of nowhere.
This can be done through darkness or narrow areas or both at once.
3. Vulnerability or helplessness
If you are a character with a sword or gun to fight with and can kill anything that attacks then you aren't as worried than if your only option is to run. Vulnerability seems to add to horror.
A note: Being dark does not equal horror. Something being dark and sad is different from making something scary. So being helpless to prevent a sad situation may be dark, but is not horror. Like Majora's Mask, it is incredibly dark and though it has it's creepy moments, it is not a horror game or overall scary. On the other hand, the situation on Pleasure Island in Pinocchio is dark, but a scary dark. Even though the situation is a bit sad, the scary comes from the fact that that dark experience could fall upon the protagonist and left him no choice but to run. In that case, helplessness is scary when the possibility of being subjected to said dark experiences falls upon the player.
4. Imagination
Some of the scariest things occur when you leave it to the player's mind to fill in the blanks. Such as in Amnesia and Slenderman, everyone said the scary part is the fact you don't know what is around the corner. You have an idea based on the sounds that there is something, but if you don't show it then the player's imagination will fill in the blank.
Note: so this means that a moderation in monster or creature attacks might be better than a constant assault, because if you know it is coming then you aren't as on edge as if you haven't seen a creature for a long time but you can hear the DAMN things around every corner!!!
5. Music
On that note, the music playing can really create a creepy ambience, but it isn't just the music but the sounds as well, from the environment such as floors creaking or grass crunching.
6. Confining areas
It seems that tighter areas are scarier than open areas, probably because you have less movement. However in Slenderman you are in a forest and it is still scary. The areas just needs to be confining enough that you have few places to run, but open enough that you have choices and you can dread over whether you made the right one.
7. Hallucinogenic Experiences
This idea really plays with the mind, where you question if something is real or not and thus can really make the imagination go into overdrive.
Characters
The two scariest elements of scary characters seems to be either when they are human, but some feature of them is off, is just wrong in some way, or when they are expressionless.
1. Off humans
For example, zombies. They are humans, but the bloody design of them where they can be missing a pieces of themselves or have something more is a common scary elements, because they seem like they could be anyone but they mind just screams that they are wrong and unnatural!!! This seems to be a common feature of monsters, is to make them humanoid but with tentacles or a melty face like in Amnesia. Or Slenderman and his messed up proportions...
2. Expressionless
The big example is again Slenderman for being faceless, so you have no clue what he is thinking or what his intentions are, you can only assume they are bad and you have no way to reason with them. So a mask could also work in this way such as Pyramid head. Another one is just someone with a face who never makes any expression even after doing some horrible deed, it just creates a scary image for the mind to process. Because we all have ideas on how one should react in a situation to see no reaction seems to creep people out.
However this doesn't mean they can't have expressions. A big example is CLOWNS! Why are they so uniformly scary or off putting? It is because their expression is painted on. They are perpetually smiling and you have no clue why or if under the makeup they are truly smiling, so it is off putting and even scary to a lot of people. Especially since their job is to force their creepy smile on others and get them to smile. Being forced to act a certain way is scary. So characters like the Mask Salesman in Zelda: Majora's Mask are scary for their perpetual smiling where you can't tell their real intentions.
Note: it seems that the scariest expression is a smile. That is probably because either it warps the usual idea of a smiling person being happy or nice and trying to play off that for some evil reason. Another reason is that it could really mean that the person is truly happy and enjoying committing horrible acts, like the coachman from Pinocchio or any smiling serial killer.
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