- Being seriously wounded in a Twilight 2000 game can be pretty scary as there aren't any clerics, there aren't many hospitals still functioning, and you're lucky to have someone with a little medicine and some medical skill nearby when you need it. Even then, it's not always enough. Neither the characters nor their immune systems are superhuman and it puts a different feel into the game.
- Games where a single hit in combat can kill or seriously maim your character can put some fear into a game. Old-school Runequest and low-tech games of GURPS both have this "feature" and it can be quite a bit different from a D&D session.
- As a DM the one thing I have seen consistently put fear into players is old-school level-draining undead. Any level of character tends to go pale when they run into a pack of spectres or vampires. Nobody likes losing levels and losing a bunch of them at once is a great reason to run away.
Note that all of these deal more with the practical side of the game and not so much with atmosphere. Atmosphere can be interesting, even creepy, but I've never felt it was scary. Scary in my view tends to happen when your character is under direct threat of some kind. I'm sure we will see some different views on this one but that's how it works for me.