Silent Hill 2!
My god, get it!
Unless you don't find this the least bit disturbing or chilling:
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Silent Hill 2 might be the scariest game I've ever played. And it's the good kind of scary, where even though you've played it before, you still worry that something terrifying is going to happen at any moment.
I've heard great things about Eternal Darkness on the Gamecube, and just recently was told about Call of Cthulhu for Xbox, a game where you hallucinate, hear voices, have your vision blur, and shake uncontrollably, all at expense to your sanity. If your sanity gets too low, you take your own life, either with your own weapon your bare hands. How can you not want to play that game??