I stopped playing Thief 2 because there was a cellar passage with some sort of ghoul, and I didn't dare enter. I could hear it from the other side of the door. Also, I had read that there were traps, you could fall through the floor and into a small room with a giant spider. Knowing that was too much for me.
Now I really feel like a coward, which I guess is the natural consequence of, well, being one. But I've made it my mission to get over my fears by playing scary games on my PS3, by myself in the dark, trying to get into the game as much as possible (I'm sure I could have continued Thief thinking "it's just a game" and/or having people around etc, but that's cheating). Right now it's FO3, then BioShock, then I might go for Deep Space or some such. Oh, and Siren, definitely Siren.
Edit: spelling