Idea: Hardcore Amnesia

[Vincent]

But what I got from this game is that it's way more frightening to "believe" there is something lurking in the shadows about to attack you than have a thousand monsters giving chase of you. Most of the time while playing the game I felt terrorised by the unsettling sounds and cries around that were just there to play with my mind.

In the end I guess it's scarier to anticipate danger than to actually face it.

Precisely. Fear its the body way of saying: "Stay away from danger."

In other words if you think a monster may jump just around the corner you feel fear.

When a monster appears fear reaches the peak, but when the monster is chasing you fear kinda disappears. If you feel in danger the body pumps more adrenaline to fight fear and maybe incoming pain xD
That why people see/play horror games and do crazy sports.

If the player dies a lot and realizes that he will just respawn and everything will be ok monsters lose their fear factor. So the best horror games make the player feel like he barely escaped death, even if he never really was in that big of a danger. They must feel pressed, without actually being killed.

Like parachuting out of a airplane. There isn't much risk involved but you know that if you mess it up, your dead. Thats fear. While falling you feel the adrenaline.

Couldn't have phrased it any better.