I've never been scared by fallout games and I'm someone that is easily scared by video games and movies, to the point that I can't play/watch certain things. I still don't know how I got through silent hill 2, and I was a lot younger then.
Maybe its just the music or the funny kill cams...I don't know. More than anything else, I find myself laughing when I play the game. I will say though that the underground subway systems and whatnot can be claustrophobic if you have that fear. I don't like total darkness...so I even turn up the brightness a bit. But...the ghouls and stuff aren't scary to me at all.
New Vegas is almost completely devoid of scares. The game is filled with so much nonsense and hilarity I couldn't even take it seriously at times. Great game though, just like this one.