FF3, for the atmosphere and setting. It made good use of camera angles and changing environments, and I thought the sense of mystery and disorientation were more effectively creepy than outright scream-scares. I like the calamity that spreads slowly, rather than everything ending in one night; the idea of having to wait to die, knowing exactly what's happening and knowing you can't stop it, scares me much more than the one-off disaster. Also, with FF1 and FF2, the curse is limited in location - you feel like if you can just get out, you'll be safe: the rest of the world might be in danger, but it's relatively untouched. In FF3 you can actually see the changes as the curse begins to creep into the safe places, too, and instead of witnessing the tragedy destroying the ghosts' lives and homes, you're seeing the same thing happen in what you think of as yours.
And basically everything Yashuu said here.
FF2 scared me in places and FF1 had me dreading fights, but FF3 remains the only one that managed to legitimately creep me out, and sometimes still does.