I have a bunch of these.
Clive Barker's Undying was pretty good. The whole scrying thing was great. Room looks normal, little spooky, but otherwise fine. A little voice whispers in your ear... "scry..." so I did. The painting on the wall goes from a nice happy scene to a scene of gore and dismemberment. There's a body hung next to you.
Another favorite of mine is System Shock 2. At first glance, its just a shooter/RPG, probably not meant to be scary at all. But its the moments where your really getting into the game that are the best. Low on ammo, you switch to your pipe. You hear one of the mutants down the hall, so you rush into a room and crouch next to the door, hopefully he didn't see you. Then the voices pumped directly into your mind remind you, your soo utterly alone. Everything here will kill you.
"You seek your associates, but you cannot find them. You are so very alone. How does it feel to be one, against... the infinite?"
"The individual is obsolete. When you and your kind are extinct, we will cleanse our collective memory of the stain of your existence." - literally gives me chills every time I hear that line. Its the inflection they have on the whole "stain" part, makes it seem like he really doesnt like you.
Kind of reminds me of being lost in a mall, seperated from your mom, frantically searching for her, but finding nothing. Being alone and soo vulnerable to everything around you.