I'm a horror veteran, in every sense. Believe me, a lot of the games mentioned so far are not scary at all. Let me make a few suggestions (I'm not the first, but I'll compile them):
Condemned: Criminal Origins is one of a rare bunch of shooters that I still find scary. It's less subtle than the two I'm about to mention, but that's Western horror for you. While less psychological, there's still plenty to think about even if that serial killer weren't so hot on your heels.
Silent Hill... I don't know where to start. If you've finished Silent Hill 2, Silent Hill 3 is actually scarier. It doesn't always make as much sense, but that it's actually scarier is kind of nice. The weakness is you've had to have tried Silent Hill 1 first otherwise it'll make no sense. Silent Hill 1 is expensive and hard to find, but worth it(well, I'm obsessed with Silent Hill and still haggled, but that's because I'm cheap). Why would Konami shoot themselves in the foot like that?
Fatal Frame has both kinds of horror, both dread and pop-out scares. Having a camera as your only weapon makes the weak protagonist seem even weaker and more frail. Fatal Frame may actually be scarier than the other two, but mostly because I'm not used to it yet. J-horror at its finest. I'd play the first one first, but you don't need to (unlike Silent Hill).
Not knowing what systems you have gets in the way here... are you afraid of being harassed as a fanboy? Well anyway, for the PC I like the Penumbra series. It's plenty scary, and has lots in its favour. You're unarmed for a good part of the game, and even with a weapon you need to be stealthy. You're completely alone in the arctic, you have no idea what happened, and the smallest of creatures (giant spiders) become terrifying under those conditions, no supernatural mind-f**kery needed. Maybe more lonely than Silent Hill, since you won't meet one person throughout the whole game... not living, anyway.
Siren can be scary, but for a lot of people the awkward gameplay gets in the way of the scares. You have to do it the way the game wants you to, and a lot of the time you'll fail because your partner gets scared and lets the enemies beat them to death. I personally liked the game a lot, as one by one the characters drop and you're left with only a handful that you're really scared for. Watching through the enemies eyes is spooky, since they imitate the things they did in life, laughing like loons the whole time, or getting it wrong. It's disturbing seeing a housewife madly chopping something in the kitchen, then to look through her eyes and realize she's happily slamming the knife at nothing because she vaguely remembers cutting things there. Yeeesh. Oh yeah, don't get Blood Curse. It is everything not so great about the first one, only compounded several times. Siren is for PS2 only.
I was going to say Bioshock, but nah. It is a good game, but not a scary one. Creepy at quite a few points, but never scary.
As for movies? If you haven't seen Session 9, The Shining, Jacob's Ladder or John Carpenter's The Thing, I suggest those. Just a couple of my favourites.