What makes it scary is a few factors actually, one is the more common you're in a generally scary area, ambience is creepy, etc.

But the second is something few games explore- You know how in games like Resident Evil or F.E.A.R. you're some dude with a bunch of guns and you're killing zombies stabbing them and all that. In Amnesia you're a dude with a lantern. Not a combat lantern. Not a magic lantern that scares away evil. A regular every day runs on oil lantern. That's it. When you hear a creepy sound, or see a moving shadow in the distance, you don't run towards it to smash its face in. You hide. Like a little girl, and you hope it doesn't spot you and smash everything around you to get to you and rip your face off.