This. For me, what I think it comes down to is that most horror in games just isn't as well-developed as it is in a really good scary movie. That's just my take, though.
I used to play BF2 with a guy named Exploding JFK Head. That always gave me lulz.
Otherwise...
My Little Pwny, Jew Nose (funny because it was my friend, who was very proudly jewish), and BaroqueBach Mountain (another friend, this time a music nerd.)