Two of them seemed to really pop out for me. Outlast (Watch it late at night in the dark all by yourself and tell me you wouldn't be freaked out a little) Same goes for this! Too bad the game got canceled but it's so freaky and disturbing
Amnesia: The Dark Descent for sure. I couldn't make it too far without getting scared and crying. Lol
Silent Hill 2 terrified me the most when I was younger. Though Silent Hill 1 left a pretty deep psychological scar as one of my first horror games.
This part in Bioshock actually scared me so bad I had to pull my brother into the room with me and I didn't leave the bathosphere for like 5 min. "Is it someone new?"