I'm going to go in a completely different direction too. The oft forgotten MMOFPS Planetside was, at times beautifully atmospheric. The rush from "Hotdropping" from a dropship in the heart of enemy territory, the experience being pinned down by enemy fire with artillery blasts going off all around you, the tension of infiltrating an enemy base, invisible unless you make any sudden movements... some of the greatest gaming moments I've ever had. The fact that everyone I knew in that game had some really unique "war stories" to tell just confirmed it's greatness. Sadly, it was screwed up by bad design decisions and low populations, which is sad.
Oh and FEAR. Dunno about all these expansions and the rest of that malarky, but playing it in bite sized chunks really improved the atmosphere for me (at midnight, with the lights turned off, natch). Alma was well and truely freaky, making you jump at the odd occasion, and the strange flashbacks were excellent (if a little cliched) methods of exposition, and handled better than in any game I've played before or since.
Oh and hi, I'm a long time listener, first time caller (as it were).