I was looking at Dead Space 2 from PAX today, and from just about the beginning of the demo I saw, I was bored to death. Monsters jump on you. You shoot the monsters. Monsters are weird looking. You shoot the monsters. There are bigger, weirder looking monsters. You shoot them too. Everything's bleak looking and the spaces are compact, meant to look claustrophobic because hey, it worked in Alien, right?
It was the same with playing Resident Evil 5. And Predators Vs. Aliens. There isn't even an attempt at psychological horror. It's just design an abnormal thing, have it pulse and bulge in random places, there's your monster. Don't forget to shoot it.
A few months ago, I picked up an old Xbox title called Call of Cthuhlu: Dark Corners of the Earth, along with a Gamecube title called Eternal Darkness: Sanity's Requiem. If I can chase down a copy of Silent Hill 2 and 3, I'll be getting those as well. And I Have No Mouth, and I Must Scream. In these games, I'm hoping to find out what's missing from the new ones.
In these new horror games, you're well prepared, whether you know it or not (like having a natural weapon perfectly suited to your environment of evil monsters even in Dead Space). At the start, you get an idea what's coming, and although you might not know the when or exactly where, you're on your toes, you're keeping your gun close at hand, you're surveying your surroundings. You're going to kill them before they kill you. You are in control.
You also get a really good look at the monsters you face. The design theory across the board for horror games seems to be the more abnormal a creature is with recognizable human or animal features somewhere on its body, the more freaked out you should be. It may be over-saturation or desensitizing of monsters that make them less exciting for me, but I think the real problem is in their application.
I haven't had a chance to sit down and play those horror games I've picked up, but from everything I've seen of them, they'll manage to screw with my head and leave the monsters just off screen when I've been knocked down and can't get up in a hurry. I'm keeping my fingers crossed.

Since "Monster Inc." they haven't been scary anymore... :)

You are right, a lot of horror games are no more scary, and thats because you are shown monsters too much. In games like Penumbra and Amnesia, you learn to fear the unknown, the unseen, and the horror lies in you imagination, because you don't see monsters a lot, but you hear them before, try to escape and such. Psychological and induced horror are the way to go, not showing "look that a freaking monster ! you see it ? see it !"

Exactly. Its like Alien, you hardly saw the damn thing and it was creepy as hell which works well in games but overexposure causes anything to get dull. Dead Space is a good example, the first time I came across a dead necromorph sprawled on the ground that turned out not to be dead it freaked me out a bit but by the 10th time, I just shot them as they lay there since they were an easier target.
Alan Wake did a good thing with horror doing possessed cars & people as well as poltergeist object throwing and it was varied enough to not get stale

It's all about establishing the atmosphere. You can be in a very dark room, with shuffling footsteps, and a human standing in front of you not moving, and still have your balls sink to the floor. Likewise, you can be in a carnival in broad daylight, and children are running about laughing and playing, and then right in front of you is the butt-ugliest thing ever (think of something out of Geiger or Lovecraft's creations). That can't be scary, unless it's Ron Perlman.

What would be better is the children running and laughing then stopping as one and turning to just stare at you silently. That'd creep me out

And then their eyes glow like in Village of the Damned? Yes please

Hmm yes, but would you beat up a child?

I totally agree. I think there's so much room for innovation that it's sad to see so many games always following the same routine. I know it's the safest option, and usually guarantees a return on investment on an established franchise (just look at Halo, same crap, different title each time and yet it sells incredibly well). A game of cat and mouse with a killer or a monster -- werewolf, please! :D -- would be awesome, or even a kind of call back to the movie Psycho, where a game totally screws with your head by having you play through several well-developed characters, and you play through a game designed to kill off some and let you survive as others. Look how well that very idea worked in Modern Warfare, where *SPOILERS* in the middle of the game one of your main characters you play is killed off in a nuclear explosion in an incredibly involving way. */SPOILERS*
It's like we need to sit all these developers in a room with nothing but books by Stephen King and H.P. Lovecraft and say here, read these until you get the idea.

With the noteworthy exception of the Penumbra series and S.T.A.L.K.E.R.: Shadow of Chernobyl, I don't think I've been been even remotely scared by any game since Thief: Deadly Shadows' infamous Shalebridge Cradle mission.
So many games these days seem to rely almost entirely on jump scares rather than maintaining a generally creepy, hostile atmosphere throughout (which is harder to do, hence its rarity, but much more frightening when done correctly).

WOULD I???!!!
And look how ineffective it was when they did the same thing again in MW2, dull.

I'm also going to mention Amnesia: The Dark Descent as a genuine and successful attempt at horror.
Most so called horror games are merely horror themed. FEAR is merely a corridor FPS with some cool effects here and there. I don't think there was ever a real attempt at scaring people there. It's the same with Monolith's earlier effort, Blood. Very much horror themed without a trace of actual horror.
Amnesia on the other hand manages what others have either failed to do, or simply not attempted. It can be genuinely scary at times. The atmosphere and pacing of that game is amazing.
Edit: I'll also mention that the real killer for Dead Space 2 is the multiplayer. By turning these monsters into nothing more than puppets for a foul mouthed bunny hopping 8 year olds they've stripped away the essence of those monsters, even if they have arguably replaced it with something even more repugnant.

The ability to just reload when you die really damages the scare in a game

That's because the second one was mostly crap, with no connection at all between the player and the death scene. There's no lingering, except for the last one, and by that time you're rolling your eyes through it anyhow. It was just 'oh no look you've just been shot and now you're dead' three or four different times. It was a cheap gimmick in that game, because they knew it confused a lot of people from the first one.