KingofGnG: Heart of Darkness :-P
While I probably wouldn't put it in the same category of "creepy" as most other games mentioned here, I agree that it's a fun game! :)
Wishbone: I think Sanitarium has a very disturbing atmosphere. It's not scary as such, it's just a kind of pervasive feeling of wrongness that is very effective in setting the mood of the game.
Already played that one; "The Mansion" was my favorite chapter, no shocking moments but sad and creepy atmosphere, very well done.
ChaunceyK: As far as just creepy, King's Quest 4's haunted house & graveyard section. Once I got through it I was fine, but the anticipation of the unknown drove me crazy.
Then I guess it's a good thing that I only just bought the KQ4-6 package yesterday, isn't it? :D (although I didn't expect it to be creepy).
Right now I'm very intrigued about Penumbra, since it seems to be fairly similar to Amnesia but with less demanding system specs (demo of the first part works fine for me). I might also try to get a second hand copy of Fatal Frame for the PS2. I was actually looking for good games I could play on it, thanks to everyone who suggested it.
Keep the suggestions coming or just chat about the subject! :)