I don't really get scared, just involved and worried about the characters, but there are 2 (well, a book and a trilogy) that scared me.
My Swordhand Is Singing by Marcus Sedgwick is the first.
I was reading it in the bath and I literally could not put it down (that doesn't happen to me often!) and I was sat in the cold water til about 11 o'clock And then when I was getting out, I was actually sorta scared to open the door
The other is Sabriel, Lirael and Abhorson, the Old Kingdom Trilogy by Garth Nix, which I've read loads of times and still creeps me out. And it's weird; whenever I read it, if I go to sleep before I've finished it I see this dark shape looming over me when I close my eyes :s freepy. Then it goes away as soon as I've finished the book.