Some games that no one has mentioned yet:
1. American McGee's Alice and it's sequel, though I haven't played the latter.
2. Shadow of the Comet - an old Lovecraft based classic.
3. Prisoner of Ice - sequel to "Shadow of the Comet".
4. Condemned: Criminal Origins - an entertaining mostly melee based horror game.
5. Cold Fear - maybe not very scary, but an entertaining adventure game nonetheless.
6. Downfall - a great indie horror.
7. When They Cry series - the scariest games I have ever played.
8. The Thing - didn't like it much, but others seem to think otherwise.

clive barker's undying: great atmosphere, great shooter, great story, great graphics, great game.

F.E.A.R.granted the scares are like screamers(why people makes them?it's irritating as hell)but the story is really worth the try

Why hasn't anyone said "Alone in the Dark" yet?

I've never played it, although I'd like to. Would probably buy it if it came to GOG.

Uhm, Alone in the Dark series is already on GOG.

It's already on gog. Both the and [url=http://www.gog.com/gamecard/alone_in_the_dark_the_new_nightmare]the new nightmare

The first F.E.A.R. I already have it, but I would buy a DRM-free copy with some bonus material.

Ahaha, I don't know whether to laugh or cry... Obviously, I'm blind.
I can't understand how I missed that! But thanks for letting me know, I'll add it to my wishlist and then purchase it when my economic situation allows me to.

The Legacy: Realm of Terror should be here :D

The problem with adding a bunch of horror games to GOG is that I'd have to buy all of them, and I'm short of cash right now. But I'd love to see ...

Shadow of the Comet and Prisoner of Ice, which I've never had a chance to play

Silent Hill 2 and 3. I even have a soft spot for the later ones.

I agree with everyone who says Amnesia is great.

Dark Corners of the Earth, if you can get the stupid thing to work well on Windows 7.

Clive Barker's Undying

The Suffering 1. 2 was really ... average. But 1 was great.

I keep trying the first Resident Evil, on the grounds that I love horror and therefore should love Resident Evil. I keep putting it back down again, on the grounds that it's terrible. I wouldn't mind some of the later ones, though (I mean, I wouldn't *mind* mind the first one showing up, but I'm certainly not interested in buying it again). 4 was wonderful, but I hear the PC port was terrible. So I guess I wouldn't "love to see" any of them after all, and am merely acknowledging that I know the series exists.

I Have No Mouth and I Must Sream was obnoxiously obtuse, but I'd still love to see it, as long as it's at a low price point.

The PC port of 4 was beyond terrible. I saw a friend play it and I couldn't believe anyone could possibly have cocked it up so badly.

Well Guys thank you for suggestions and I heard of most of them sadly or beaten them except Shadow of the Comet and Prisoner of Ice, The Path and When they Cry. I'm not sure whether I played so many that now I am not fazed or there's nothing that can seem scary or errie or surreal or disturbing in any way. I will look out for any of these games that you guys posted.

I just youtubed that and it seems that you sir are correct.

Don't know why everyone says that. True, porting the PS2 version instead of the GC version was a bad decision and the original release had some awful issues (i.e. missing lighting) but the official patch fixed most issues. Additionally the community delivered some nice enhancements (for example a high-res texture pack using the graphics from the GC version or cutscenes using a better codec). If you use a gamepad and all these enhancements the port is really enjoyable.