Of course this game, Oblivion, Morrowind, etc.. has scared EVERYBODY way more than once for sure.
If your someone that claims it hasn't scared you at one time or another, then these are the ONLY 2 possibilities:
1 (most likely): Your not playing on a big enough screen with a correctly set up surround system turned up to a "theater" volume. (which you absolutely NEED to do to experience any movie or video game correctly.)
or
2: Your lying.
Never scared. Like other Posters said, Ive jumped a few times, especially when Jordis vanishes for a couple of game days and all of a sudden she's there when I turn around in a cave.

FYI, that is what "scared" is. You wouldn't "jump" if you didn't get "scared" for a split second. Maybe you weren't scared for a long time (which sounds like your definition of scared), but for a fraction of time, man, YOU got scared. Face the facts. No reason in being elusive with language here to try to rectify you didn't get scared. LOL, no reason to be embarrassed. If you jumped, flinched, or anything, THEN you were scared. = Simple.