Apart from the well-known ones, which I all pretty much equally love (Biohazard/Resident Evil, Resident Evil 4, Silent Hill, Condemned, etc.), but generally just the first title in the series... if I can only pick one, I'd probably go for Midway's The Suffering.
Yeah, I know. It's old as ass, eventually falls apart, looks and sounds and feels quite horribly out-of-date these days, but... it was just one of the first truly horrific rides in the new millenium. It got Stan Winston monster designs that just worked, no matter how battle-hardened you considered yourself to be. It had effects and bits no other game offered. It gripped me and didn't let me go for quite some time, invading my dreams, inspiring me to draw and write and ponder on things I haven't given much thought on in a while. Simple things we tend to take for granted, such as living a normal life, not killing people and not having to deal with things invading our world that made certain elements of Half-Life or Cthulhu seem laughably benevolent in comparison. For me, it just took action-y survival horror to a whole new level, and the next 'original' title that reminded me of this one particular ride was Condemned.
Most horror series in games consist of one exceptional title, just as with movies. Usually, it's the first one.
Just look at Amnesia.