The ghost, zombie, skeleton, demon, or whatever in a truly scary film or game is something of a mystery. The reason, I think, is that the RPG enemy exists specifically to be fought, and usually in large numbers.
I never screamed during any of them, the same way that no Dungeons and Dragons player ever screams at the appearance of a skeleton. They have horror themes, but none of them are truly horrifying the way a good Hitchcock movie is. Most of these games are adventure-RPG hybrids and the one thing that they all have in common is that none of them are scary. I guess you could toss House of Usher (1980) in there, too. We've had a few, including Don't Go Alone (1989), Elvira (1990), Elvira II (1991), and Waxworks (1992).