I think what you're feeling is normal, to some degree. I was brought up in an atheist household, so I wasn't christened, never went to church, or anything like that. My parents made sure I was given information about all religions out there (from primary school on, where I took these 'general knowledge' classes where they talked to you about christianity, buddhism, atheism, etc.). They always wanted me to figure it out by myself. I went to a predominantly catholic high school (where most of the students actually weren't religious, which was kind of odd) where we had bible class. Although I was an atheist, I didn't really mind having to study the bible (other religions were mentioned too, though less), I always found it sort of fascinating what people take from old scriptures and how they interpret certain things.
Why i'm telling you this, is cause i'm trying to say that I wasn't raised with a fear of anything. I wasn't taught to fear a god, it wasn't instilled within me that anything like ghosts or demons exist -- quite the opposite. I was taught to rationalize everything and to think it over before concluding what it was.
Which brings me to my case in point: I, the absolute epitome of atheist upbringing, get freaked the hell out by horror movies sometimes. I especially can't watch Asian horror movies, because they play with sound too much (no background music and such). When the phone rang after just watching The Ring at night with friends, we froze and answered it after slowly and deliberately looking at each other. When the door of my old student housing bedroom opened itself at 2 in the morning after I'd just watched paranormal activity, I was frozen to my bed for a considerable while before I got up the nerve to walk over there to see the worn out bolt hanging off the hinges, leaving the old door no other option to open. Sometimes I see shadows in my house, and they freak me the hell out.
You're not alone, my atheist friend. Though your case sounds somewhat more severe than mine, I think it's a natural thing to take the things that you see in movies, games, life, and somehow store some of that, even subconciously. I don't believe in super natural occurances, but when something happens that I don't have an immediate explanation for, when it's dark and gloomy, and a thunderstorm rages outside an open window, it still freaks me the hell out. When I watch a movie or play a videogame, or watch a documentary that involves the paranormal or something akin to that, I still get an unsettled feeling in the pit of my stomach. It makes no sense to me, because I know in my head that it's not real -- but it doesn't matter.