Corpse Party
Fatal Frame
Fatal Frame 2
Amnesia
Most scary games just aren't scary, to me. Anything with any kind of a combat focus automatically isn't scary to me, ejecting things like Resident Evil (well, only Remake/1 tried anyway) or Dead Space. Lots of other stuff that gets halfway there, like Condemned, but good atmosphere alone doesn't really scare me much. Of course, that popped up mostly in recent years, the first game to really scare me good was System Shock 2 and that probably wouldn't get me much anymore. Silent Hill always nailed the aesthetics but I haven't played one in years, so I should throw 2 or 3 back into my rotation when I get some time. I still got stuff of this cut that I haven't even truly gotten to yet, like Rule of Rose for old and Lone Survivor for new.
Gotta have that mental bend to fuck with you, that's why I liked Corpse Party a lot, it stamps on your humanity and you know you got a good thing going when the narrative makes mere death seem like an attractive option. It's funny because I actively avoided buying it originally due to the art.