First off, if you haven't played this game, you should. Great story, brililant voice acting, and just plain fun. The truth is, I wouldn't even say that the game is scary. But the best word to use when describing Alan Wake is intense.
It's hard to go into detail without spoilers. Let's just say that there's jumpy scenes. There are tons of moments where you're running for your (video game literal) life. You feel pressed for time, always, when so far there seems to be no timed sequences. And it's just plain eerie to boot.
However, I love the game and will continue to be stubborn and play through. That's just one of the things I love about games. I don't want to be in danger in real life, but bring it on with my television and a controller.