Oh lord! This was so obvious I totally forgot about it!
Punchdrunk's 'Faust'. It's not a normal show, you don't sit in a seat and watch actors prace about on a stage. You don a mask - for anonymity and to remove inhibitions - and you walk around an abandoned dark warehouse that's been done up to look like a 1950s American town in a scary film, following actors whenever you see them and failing to unravel any plot but totally experiencing an unbeatable atmosphere. You need to steel yourself to take any steps in the dark, and some of the rooms were proper scary. There was a sortof field that reminded me too much of 'Silent Hill 4', and a corridor that was full-on 'Silent Hill'. And at one point, an actress got bored of me following her and locked me in a small room with another actress, who was playing the role of a terrified girl being visited by an unearthly apparition. There's nothing like being locked in a tiny room with someone staring at you in abject terror, then coming closer to embrace you, sit you down in a corner, and tell you a strange story about a girl who wanted to die and go to heaven so she didn't have to be alone anymore.
'Masque of the Red Death' from the same crew was less frightening somehow; this time I got locked in a very small cupboard with a hot dancer who caressed me and whispered in my ear. Although there were still some corridors I had to properly FORCE myself to go down because they were scary (especially the cellar O_O). But there were some rooms in 'Faust' I couldn't convince myself to enter at all, so that just about wins.
I keep hearing rumours that 'Faust' will be going to New York. I'm not even kidding, you simply MUST go if it does happen and you do get the opportunity!