System Shock 2: The isolation and horror you face in space made it scary, you couldn't just bugger off and leave the horror,you had to face it.
Fatal Frame (both of them): Japanese scare, says it all.
Silent Hill (1-4, there is no other silent hill apart from the four and if you correct me then you are WRONG) is a game of its own breed; alone, scared, characters a noob in combat and firearms, monsters that make you scared because you don't know what it is or what its going to do, setting that is masterfully designed, story that draws you in like a cake shop... all mixes together to form a perfect psychological horror, but more SH1&2...
*Spoilers to the ones who haven't played SH2*
The biggest freight i ever got was is SH2, at the hotel after you watch the tape in the room and you walk out, and keep in mind i had been playing non stop for hours so i was fully immersed in the story and game, and you hear Mary say ''James''... Made me scream like a 6 year old girl, launched the controller 5 km into the air and made me nearly conduct a trouser leakage of epic proportions! Love that game!