Firstly, Blood omen:legacy of Kain. We have soul reaver but it's not the same. (not really horror but still).
Any silent hill game. I guess in PC there are three released. Haven't played homecoming which I suspect to be a bit mediocre.
Ctulhu: dark corners of earth and Amnesia (which is almost too scary for me).
And why not quake 1.
Also I think it was vampire the masquerade: bloodlines which had that one great scary castle. Don't remember for sure.

Other than that what is there which isn't already here?

The Silent Hill series is pretty good. It's a pity that the first one is PSX exclusive. The second is pretty good, and the third is awesome. The fourth (The room) is not bad either.

Amnesia The Dark Descent.

*Points to the top of the wishlist*

Penumbra and Amnesia.

Seconding Antimateria on Quake I.
That game was and still is very atmospheric and especially on the highest difficulty setting, quite unsettling.

Also seconding him on Bloodlines, though that particular episode is unfortunately very brief and somewhat ruined by unnecessary platforming.

The Suffering is a good horror game. Hope they put it on gog soon.

Oooh, over the years I've become a huge fan of horror games and played lots of them. These are those that come immediately to my mind (okay, I admit - I've added some that didn't get immediately to my mind by editing):

Nocturne - Not really great in terms of horror but it's a very enjoyable game rather focussing on a very cool and cynical protagonist - it's kinda as if Dr. House was killing vampires. Oh yeah, and BloodRayne is set in the same universe as this one.

Nosferatu: The Wrath of Malachi - A completely unknown horror game that MUST be added to the GOG catalogue. The technology and visuals were already dated when the game was released but for me it's among the most terrifying and original horror games ever made.

The Suffering 1 & 2 - Especially the first one is one of my favourite horror-themed action games although it becomes less and less of a horror game as you learn to efficiently kill most types of enemies - but it has some seriously shocking moments and quite a sophisticated plot

Silent Hill (2-4) - In my eyes the best horror game series of all time. Extremely disturbing and very sophisticated. Using a gamepad is highly recommended though.

Penumbra - The Penumbra series spans two games and an addon. Before Amnesia I considered it one of the most disturbing horror franchises ever. In my eyes some of the riddles are too hard but the experience as a whole is absolutely astonishing.

Amnesia: The Dark Descent - In my eyes the most disturbing game of all time. The gameplay and plot aren't among my favourites but if fear has a name it's "Amnesia".

I Have No Mouth And I Must Scream - An incredibly good and sophisticated adventure game based on Harlan Ellison's work of the same name. The atmosphere is incredibly disturbing and it's amazing that a game can approach such serious matters (lots of stuff about ethics).

Doom 3 - Not very terrifying, not among the best shooters ever made, not very intelligently written but let's face it: it's a decent and gorgeous horror game.

The Path - Is it a horror game? Is it a game at all? Who cares - it's very artistic and eerie.

Evil Twin - One of the weirdest games ever made. Someone actually managed to turn a platform game similar to Mario 64 or Rayman 2 & 3 into a surprisingly eerie (and solid) experience.

Resident Evil (1-4) - I never was a fan of the RE franchise until I played RE4 but they are still classics that should be part of any good collection.

Martian Gothic - A decent RE clone set on Mars. Not very good but it has some original ideas.

Blairwitch Project - Three different developers created three different games that form a trilogy. Only the first one, titled Rustin Parr and developed by Terminal Reality (the developers of Nocturne and BloodRayne) is really worth mentioning. Oh yeah, Rustin Parr is actually also kind of a spin-off from Nocturne as one of its characters appears there.

Devil Inside - More of a parody of horror movies and games. You take part in a reality TV show that involves killing all kinds of monsters. Only played it a bit but I remember that it was actually quite entertaining.

Call of Cthulhu: Dark Corners of Earth - Pretty neat horror shooter set in Lovecraft's universe. It's a bit too much of a shooter in my eyes but has a very good athmosphere.

S.T.A.L.K.E.R. (SoC, CS, CoP) - Probably needs no introduction. Mostly just eerie but occasionally shocking. And either way it's a great series.

Surely you mean the level of the hotel? It is telling that every time I mention this game to someone who also has played it, they invariably remember this wonderful level.

Call of Cthulhu and S.T.A.L.K.E.R. series... I already own them all... but i will buy them on GoG..if they are added.

I'm kind of surprised nobody has mentioned System Shock 2 yet :o

Undying would be cool too

Well, I alluded to it, if that counts :P

Perhaps everyone's just lost hope that SS2 will ever actually reach GOG D:

Call of Cthulhu: Dark Corners of the Earth, Obscure 1-2, Resident Evil 1-4, Silent Hill 2-3, The Black Mirror.

The vast amount of atmosphere and originality in these games means that they simply need to be on GOG.

Four actually: Silent Hill 2, Silent Hill 3, Silent Hill: The Room and Silent Hill: Homecoming.

Hmm, a wild sudden urge to play The Room appears!

edit: I'd like to add that while Homecoming definitely isn't up there with the best Silent Hill games (namely, second and third), I still think it was a worthwhile game. I didn't enjoy the combat much and sometimes save points were too far and between, but it was still a solid Silent Hill title. I really liked the story (although some people seem to disagree), and the atmosphere's not bad either. It's not really scary (on SH standards) which is the game's biggest fault, but despite that it's still an okay game. Give it a shot at least!