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DaCostaBR: I was going to suggest Cryostasis, but I guess GOG has pulled it from the catalogue.

Call of Cthulhu: Dark Corners of the Earth is a first person adventure game about a detective investigating a mysterious town, with the usual lovecraftian tropes. I haven't gone very far into the game, I hear it falls apart later on, but what I played I really enjoyed.
I actually own both of those, but I have not played them (I'm not much for horror games usually). They are somewhere in the piles of games from all the various gaming magazines i gathered over the years.

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DaCostaBR: If you're going to consider the Broken Sword games, the Gabriel Knight series is also a point and click adventure game about supernatural investigations.
True. It was mentioned before and I somehow let it slip. It looks pretty much perfect.
Roswell incident, alien entity, NSA agents, lost Mayan civilization, government conspiracy, mysteries, puzzles and investigation :

 ▪  <span class="bold">Tex Murphy: The Pandora Directive</span>   ( review )
 
Few years back I used to think X-Com games were based on X-Files tv series!!!
<facepalm>
With The Lone Gunmen, the series dig into the wacky Hollowood vision of 'the internet'. While not supernatural, the game Uplink: Hackers Elite perfectly captures yesteryears fascination with this strange, digital world.