I don't like to be horrified. Whether it's games, movies, or books, the "horror" genre is the last I would deliberately seek out.
I wouldn't call Metroid Prime a "horror" game, but it has a distinctly spooky atmosphere about it. It's terrifying, but in a very satisfying way. Does that make sense? Well, what if I just told you that I have screamed, out loud, many times while playing it?
What's the game's secret? It's got to be a combination of a lot of things, including art direction, level design, and music and sound effects. Especially music and sound effects. Just listening to some of the boss themes will send shivers down my spine, no problem. Sometimes you hear things. You hear, but don't see. You move forward a couple of steps, ever so cautious, look around for whatever's making the noise, and still you don't see.
I think atmosphere is the calling card of the Metroid series. I've played a lot of Metroid games, but none boast the same raw, well-defined creepy feel as Metroid Prime. Then again, I haven't even reached the second or third Prime games yet.