Be sure to play them at night by yourself with headphones on. Always sets the mood right.
Call of Cthulhu

ark Corners of the earth is fairly meh, Bit with the shoggoth and the sewer parts are kinda creepy though.
I found the original Silent Hill 1 scarier than Silent Hill 2. That being said I'd recommend any and all of them up to Silent Hill 4 anyway.
I absolutely adore I Have No Mouth And I Must Scream but that being said I'd hardly call it scary it's more just warped and deranged.
The original Alone in the Dark is absolutly terrifying! OH my God! What the hell is wrong with my characters face? Aghhhhhhhhhhhhhhhhhhhhhh!
The Legacy:Realms of Terror left me with endless nightmares when I was young but trust me it'll only scare you if you have a wild imagination and are about 8 years old.
Vampire the Masquerade:Bloodlines has the haunted Santa Monica seaside hotel and the Hollywood hills home bits but that games got good everything really.
Any bits in the Thief series that deals with the undead or ghosts or giant spiders can and will scare the bejeezus out of you.
The original Obscure remains quite creepy in some bits, although it is rather cheezy in some parts. The second Obscure is less scary but also less cheezy.
Play. Yahtzee's. John. Defoe. Quadrilogy. You can get em from his website. Hadn't been so scared since I first played silent hill. Scary scary scary. Especially the third one.
I was not once and never have been scared at any point in Bioshock, splicers are just too comical and your just packing too much heat to be feeling vulnerable. Still a good game though.
The 7th guest is still kinda scary, sorta.
Penumbra's worth a look.
I found the first play through of Doom3 quite creepy. Any more playthroughs, much, much less.
Cryostasis I personally found interesting but not really terrifying maybe because I played it during a heatwave or because it was laggy as hell, or maybe it's just not that scary.
Aliens Vs Predator 1 and to a lesser extent AVP2 play as the marine, now flinch at the sound of the facehuggers crawling AHAHAHAHAA!
Laugh if you will but I found bits of Conkers Bad Furday scary, sorta.
I have a little gem called The Devil Inside. It's like a cross between Resident Evil, Big brother and the Price is Right. Not so scary but very very odd.
Can't really say about Condemned 2 as I've never played it but Condemned 1 can get to you.
The Thing game was balls. They took the premise of the awesome movie and did absolutly nothing with it. It's so easy to figure out who the thing is, it's anyone your not, seeing as how at the point in the game that they can't go anyfurther due to loading screens or boss fight and whatnot, regardless of whether you do a bloodtest or not they're going to change. Yawn.
Call of Cthulhu: Shadow of the Comet is really scary. That is if you find the sound of people doing bad Vincent Price impressions scary of course.
The Half Life series do creepy well in bits.
Hell even Resident Evil can be scary. Why, the story structure quality is simply ghoulish!