well as part of the world only make one if it's good (all the ones I've seen and in current production look like garbage, and not talking about graphics entirely but just no atmosphere, i may aswell be playing duck hunt). I love zombie games but to be honest RE nemisis was the last one i enjoyed. And I hate any zombie game where zombies can shoot. seriously. But if anyone makes a good one I'm in...still waiting though. Don't get me wrong I love action in a game but I also like the anticipation of what could be around the corner, sometime silence and isolation can be effective in immersion, at least I think so.
I personally havn't been scared in a game for a very long time, the most recent though was suprisingly gears of war, when the berserker is hunting you down inside on the first encounter with it. theres just something really creepy about that scene to me (especially with head phones on, the sounds are really important) just that feeling of nothing being able to stop this thing charging me until i can get that hammer of dawn working outside.
as others mentioned doom3, I was really excited, at the time, about doom3 but I enjoyed the demo more than the game. probably because the story just basically stopped at the same place as in the demo(or i stopped playing it before the story picked up again as I didn't finnish it). But that might just be what I personally look for, a good story, with action and something interesting or the feeling of progression to keep me playing not 12 hours of doing the same thing as you can just throw any immersion or connection to the character out the window IMHO.
So as for anything I can throw at this, have good interesting characters (riviting dialogue - bring me into the story, and actually have a story) put the player in situations that are really uncomfortable but where they can see daylight(metaphorically or an actual way out but knowing they are stuck for the present in a horrible situation, like that gears scene, but spaced out so the effect isn't lost). I suppose it doesn't add much to what everyone else has said but that's just my off the cuff thoughts.