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)

I think the game holds up pretty well. It's really not bad. Not great either, but it's sort of an intentionally cheesy horror story.

Shadow of the Comet was cool.

And ofcourse Dark Corners of Earth.

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.