I've heard that they've gone to Frictional Games.
Amnesia is, yes, the one with the publicity. Maybe even their best. But don't overlook Penumbra: Overture and its sequel Black Plague, they're all kinds of amazing. All available on Steam, and cheaply at that.
Lots of people find parts of STALKER incredibly scary. I was only mildly disturbed, but then, this is post-Penumbra/Amnesia, and I was never too easily scared to begin with.
Other than that? Lessee... you have System Shock 2, certain parts of the Thief series (The Cradle, my god) and some other games I sadly can't recall at present. Also, two Half Life 2 mods: Korsakovia (awful as a game, amazing story/voice acting/script/creepy factor, at least watch a playthrough of it on Youtube) and Nightmare House 2 (excellent game, very, very scary).
Oh, and I know it's not scary - more nauseatingly cute, really - but you should try Eversion [http://zarat.us/tra/offline-games/eversion.html]. Excellent platformer, and it'll only take an hour or so of your time. Trust me, you will NOT regret this.