Silent Hill 1: The game has atmosphere. The music is very unnerving and grating...kind of like that scene in Full Metal Jacket where Leonard is beaten using soaps in towels. Midwich elementary school is fucking scary...specially when you hear the kids sobbing, you turn around see nothing, then you hear more sobs and one of those fucking headless kids wielding butcher knives jumps you. Also that part were you get into some sort of Stove/Boiler and Normal School turns into Dark School.
Indigo Prophecy/Fahrenheit: the loony asylum where you have to wander in the dark amongst the fucking crazies.
Friday the 13th: the game used to be scary, specially when you received distress calls from kids only to rush at them.
Resident Evil 1: I like the series but the first was the scariest of them all. It then turned into a Heroic Bloodshed game from a Survival Horror game after the first.
Eternal Darkness: Not scary per se, but the game fucks with your mind after your sanity meter is below half. You hear cries, people beating on doors...after a while, it gets to you.