I loved the scary moments. I was a little shocked during both of the puzzle 'screamers', but the only time that I really jumped was at the end when a large group of gnomes appears behind Nelson, that sort of freaked me out. I'm generally not a horror fan, but I like the approach used in Puzzle Agent because it's sort of mild horror, and it's also balanced out by the jokes that are scattered throughout the game. I really like the whole theme, feel and mood of the game; it really appealed to me and now I'm craving more Puzzle Agent. Hats off to Telltale, this game was top-notch.
Read that instead ^.