Prey definitely has spooky parts, but I loved it because it's tied to gameplay.
In Vampire the Masquerade: Bloodlines, I investigated a haunted mansion while following a ghost and being peltered with objects. It was really spooky. However I soon realized that the flying objects never hit me hard enough to kill me, and all the spooky sounds and visuals were just that: Sounds and visuals. I ran through the rest of the walking simulator hoping to be ambushed by something I could fight, but I was left disappointed.
In The Witcher 3: Wild Hunt, I investigated a haunted tower. At every floor there was an apparition of a tortured ghost that extinguished all torches and eerily told me the story of what had transpired there. However I barely listened to it because I was busy looting every container like a vacuum cleaner. Again, just sounds and visuals (and lots and lots of crafting materials).
In Prey, I unlocked an optional room very early on in the game. I go inside and I hear someone saying "I USED TO WISH WE WEREN'T ALONE IN THE UNIVERSE". I come face to face with this fiery demon I've never seen before called "???". It instantly burns me to death.
I reload and enter the room again. I'm ready this time and get a few shots in, but I barely make a dent, so I flee. I run up a staircase and hide, but it clearly saw me since it's making its way towards me. I see its icon through the floor, the distance number slowly decreasing. When it's on the floor below me, I quickload in fear.
That was scary. Not because of the creepy sounds and visuals alone, but because the monster wasn't just talk. It actually had the stats to back it up, and thus I feared it from a gameplay perspective.
Halfway into the game my own stats had skyrocketed to ludicrous levels where I insta-killed most enemies, and had transformed from Ellen Ripley to Doomguy. Which was a shame, I would have loved to feel the fear of being underpowered and underequipped again.