Atmosphere, for shizzle.
Especially one scene, early in the game, where you enter a freezer. You pick up some power up of whatever, and then the room fills with a mist of ice.
You turn around and suddenly there's someone frozen behind you!
Never, in any game I've ever played before, have I jumped so much. Bioshock was first to make me freaked out the way I did. Since it happened early on in the game, I was forced to play it, and its sequel at a very slow pace, solely because I was scared of jumping that much again.