Bioshock was developed by the same folks that did System Shock 2, which is a game that has a high creepy-factor. SS2 is a bit dated now, graphics-wise, but it's still a pretty awesome game to play.
Bioshock is amazing as far as the graphics go. The art direction is phenomenal, being full of art-deco atmospheres that have fallen into decay and are collapsing around you. Another nice feature is that you can set up the audio for 5.1 or 7.1 surround, which takes the sound design to a whole new level.
While it is creepy, it's not creepy at the same level as SS2. The mutants that you run into ("splicers") are insane, but they're recognizable as human. The SS2 mutants were more like zombies, which made you feel more isolated; in Bioshock, it's more like you're in the asylum with the crazies run loose.
So okay, they're different. Bioshock is still creepy, but it's not the fear-factor-nine kind of creepy that I love from the Silent Hill series. And realistically it's a puzzle-solving game deep down at its core, particularly noticeable in the hacking of devices. It's still pretty damn absorbing, and there are some good story elements in there.
Side note: it's kind of a flaw in the genre of videogames in general that the progress in the game is done in a linear fashion. It's not just videogames: I have a nifty article somewhere that I was writing on the linearity in traffic flow for the Haunted House industry that broke it down into a node graph; each "room" in the haunted house is a node, and the path you take between rooms gets represented as a line between the nodes. Almost every haunted house in existence has a completely linear node graph out of practicality, because they thrive on getting the patrons through in as fast a fashion as possible and in as controlled a manner as possible. Movies are inherently like this because there is no real interaction possible, and you are constrained to a single path.
Videogames have a bit more luxury, because at least in single-player games, there is only one person and you are not really constrained by time. Yet almost all of them have elements of the linear-node structure (for instance, to get to the next "level" or "chapter", you have to Kill the Werewolf and take the Key of Foamy Goodness). There may be a lot of freedom in between the nodes, but nodes there be.
I think it comes a lot from western concepts of storytelling, where there has to be a beginning, middle, and end. With a game, just as with a movie or a really good haunted house, there is a story being told. (Deus Ex departed from that a bit in that there were multiple possible outcomes based on the player's decisions, but there were only a limited number and the nodes you passed through to get there were basically the same.)
Something I've always wanted to do was create a haunted house that was multipath, where you were not constrained to a single linear route. It's not something that would really be commercially viable, because your throughput would be dismal, but the immersion factor could be awesome. If nothing else, it would make for one hell of a party game.
Okay, back on track: the immersive "creepy" factor. I love atmospheric creepiness, the suspense-building stuff where you know that something is really really wrong but you just don't know what. The Blair Witch Project was like this back before everybody and their brother knew about it... the scary thing in the woods that you don't really know what it is. Silent Hill (the game series, not so much the movie) is superb at creating the creepy factor.
Movies, not so much. There are some movies that have excellent creepy-suspense stuff happening (Alien, anyone?), but it's been a long time since I can remember being creeped out by a movie experience. Part of this is because it's been a long time since a genuinely creepy movie came out (White Noise, The Ring), but part of it is I think endemic of the movie experience being not only passive, but usually shared as a group.
I watch a lot of horror movies by myself, since I have an ample DVD collection. Isolation is a key ingredient in horror, so watching these beasties that come out at night by myself should leave me primed for a good, sumptuous fright. Yet there's a lot that I find lacking. A lot of the recent crop of horror movies either rely on gore or "boo scares" (in industry parlance, startles) to make the frights happen, and either of these is like the junk food of the horror movie: you have to pile on more and more to satisfy the audience until it reaches ridiculous proportions.
Parallel here: how many times have you been to a haunted house that was essentially a maze filled with "monsters" in rubber masks who would leap out at you unsuspectingly and yell "RAAAR!" or something similar? Or been chased with a chainsaw? It's crap, it's not creative or artistic, and it's certainly not either creepy or suspenseful. It's the same thing, the junk food of the industry. Empty calories of fright.
Something else that occurs to me is that the things that frighten me in movies are almost always not human. Ghosts are good, alien monsters, supernatural beings and the like, because you really don't know their motivation. Movies where the antagonist is/are human just don't do it for me: People Under the Stairs, The Hills Have Eyes, Wolf Creek... none of these were to me particularly scary because the monsters were human. Big deal. (Deliverance might be an exception: though it's not explicitly a horror movie, it's damn close.)
All this is heading towards making a movie, and trying to translate the creepy into movie-world. Trying to quantify what works and what doesn't, what can carry over into a live haunted house and what can't, and what kind of things I can get away with that won't seem cheap and sleazy.