People have already mentioned these but you really ought to try them if you want to scare yourself stupid:
- Silent Hill 1, 2 and 3 (4 spends too much time confusing the hell out of you so is less scary).
- Condemned 1 (and to a lesser extent number 2 - less scares though).
- Dead Space 1 and 2 offer some jumpy thrills and the atmosphere both games is classic horror.
- And for a quick and fairly scary experience, give Limbo a try - it's dark, disturbing and pretty frightening to get through.