In terms of smart scares, the first game has one of my favorite horror moments. While scanning the restaurant for threats, you may occasionally find a poster that has a picture of the game's namesake Freddy Fazbear. The picture will swap between a few different options, all of which are modestly creepy.
One, however, portrays a golden eyeless version of the mascot, and lowering your monitor reveals that the same one has somehow made it into the room with you, ignoring closed doors and all forms of protection. If you stare too long, you hallucinate until your screen is filled with his face. At this point, the game closes completely, booting you back to your desktop to wonder what in the hell just happened.
I remember the first time I played Metal Gear Solid and completely lot my mind when Psycho Mantis read my memory card and made fun of me for having Barbie's Gotta Have Games on there. This type of fourth-wall-breaking interaction will never go unappreciated in my book.
If you want to try finding him yourself, Andrew Rafael has provided a great video showing how to hunt down this awesome moment.