I do! I've tried to figure out exactly why for a long time. I like them better than I like horror movies, which I also enjoy, but something about controlling the character in doing scary things makes the whole thing even more frightening. I wanted to come recommend one I recently found and am enjoying: The Last Door (thelastdoor.com). It's a weird little indie puzzle escape game where everything is pixelated oldschool style. The story is complex enough to keep it interesting and it clearly draws a lot from Poe (I really like crows, this game manages to make them horrifying). It's not big on jump scares - the scariest things that happen are exiting a room and then reentering to find things that weren't there before. I screamed, but I am easily startled (and I like doing that to myself, for whatever reason). If you like games like this and are bored and it's late at night, give it a try. My only complaint is that it's slow - you move slowly like an old game so it takes awhile for things to happen. (Let me give it a fairly big TW though: in the very first scene, you have to guide a character through committing suicide. The rest of the game doesn't really have anything else of that tone, at least that I've gotten to so far).
People that like games! What are your favorite scary ones? My all time favorite game is Eternal Darkness: Sanity's Requiem. I've also been super into Silent Hill 2, and to a lesser extent Fatal Frame 2 and Deadspace. I'm really interested in discussions on why we (well, some of us) like these things.