Fatal Frame series. No other game has disturbed me as much. I like the first the best because the concept was new in that one and thus maximally terrifying. The second has a more fleshed-out story though and is basically as good.

Close second is the Silent Hill series, 1 through 4.

Haven't started the Amnesia games yet, but I have high hopes they'll make the list.

Phantasmagoria!

100% nostalgia-ridden choice but mine nonetheless.

Erm... Hello? System Shock 2?
And on Night Dive's second release day too! Shocking!

Haunted House on the Atari 2600! (Honestly I couldn't play that thing with the light off when i was 9)

Shadow of the Comet was cool.

And ofcourse Dark Corners of Earth.

Amnesia and Outlast.
Amnesia has a great atmosphere while Outlast deliveres that + something more that I can't describe.

I'm not sure that 'intentionally' isn't being generous and Roberta William isn't the Ed Wood of game design!

I just read a topic but it must be silent hill 1 or IV which was the only PC hill i played.

I guess I mean it's cheesy in a B-movie sort of way. Over the top, silly in places, but decent and entertaining enough (in my opinion).

Blood...

System Shock 2

Dark Corners of the Earth

I Have no Mouth...

Waxworks

Arx Fatalis! ;)

It's strange, I always thought I'm a sucker for horror games but now that I have to name my favorite, I can't think of any that I really loved ... (and that are meant to be horror games; I was only half-joking about Arx Fatalis, it really gave me some scares and was deliciously disgusting at times)

EDIT: Could be because I really prefer eerie atmosphere, suspense and more subtle horror building up, I'm not that interested in zombie splatter or a hodgepodge of over-the-top atrocities. I like ghost stories like Dark Fall: The Journal and that chapter in Sanitarium though. I admit I haven't had the chance to play Amnesia yet, I already got frustrated with the fiendish dogs in Penumbra Prologue. :D

Resident Evil 2 had me on the edge of my seat more than once. I also enjoyed Call of Cthulhu: Dark Corners of the Earth (say that ten times fast!), and Dead Space 1.

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But Weclock can be kind of creepy too.

Classic Tank Control Horror: Resident Evil Remake, 0, Outbreak and Silent Hills Trilogy

Modern First Person Horror: One Late Night.