Silent Hill 2

The best survival horror to ever grace this planet -- Amazinginly well-told story with less need for words and more use for the environment and the atmosphere do it instead. Adding on to that there's the sharp psychological edge to its horror that makes it feel extra tense. SH2 gives full sense of being totally alone in empty town where on can't be sure if it's the monsters, the town itself or something else that is out after you. As a final note, the music ranging from melancholic guitar stringing to weird natural tumbledryer noises only strengthens the scare factor even more. I was planning on playing it and SH4 again for Halloween specifically.
Resident Evil Remake

One of the only Resident Evil games that truly matter -- The remake had the atmosphere, the creepy mansion with an eeriely dark secret, it also sadly has jump-put scares, but when monsters do show up off-screen, and when you don't hear them it is at its best. But also when you actually can hear them: The camera angles are specifically designed to put you into a consistent state of paranoia -- Never knowing where the next enemy will be coming from and your limited inventory space forces you to carefully plan out your exploration within the mansion and be prepared.
Eternal Darkness: Sanity's Requiem

This game defined the horror genre. It's a milestone in of itself -- It takes the incredibly weird and scary bits of KojiPro's MGS1 Psycho Mantis battle and the certain AI mind-fuckery of Sons of Liberty and implements it here. Eternal Darkness utilizes Lovecraftian tropes, by having the monsters be cosmic forces from beyond time and space, in this case beneath the Earth, who've been terrorizing human kind since the age of Rome. As a result -- The game places you into the role of several different characters from different time period, battling the same paranoid fear of losing their sanity -- Eternal Darkness has a sanity meter, as it decreases, weird things will happen on your screen. It'll start to tip, bugs will crawl over it, and it'll even delete your saves (spoiler). It betrays preconceived notions of your average horror, add that with an unforgettable Lovecraftian-story and you got a winner.
Silent Hill 4: The Room (Still Survival Horror but more of the claustrophobic kind)

Silent Hill 4 is different from the first 3 games in the series because much like Eternal Darkness it took familiar traits that you've been comfortable with in the past and turned them up-side down. As a start, most of the time, the games takes place entirely inside a "room" specifically the apartment of Henry Townshend our protagonist. One day he finds himself locked inside his own apartment and it only gets worse from there as the room soon takes on the appearance of a nightmarish hell and it warps and shifts its shape consistently -- The concept was to take the idea of the "room" as a "safe haven" and make it a danger zone: By having it be played in first-person, inside the room, it's safe to say that the plan works. All of these things are heavily reminiscent of its major influences such as Jacob's Ladder (recurring influence) and with a bit of Twin Peaks as well.
The only seeming connection Henry has to the outside world is a mysterious hole in the wall that takes him to places that somewhat resembles Silent Hill or town spots nearby. Through much of the game you find yourself crawling through this hole in to other dimensions and it creates this psychological edge and almost seemingly unnerving atmosphere the series has been so good at in the past anyway.
Condemned: Criminal Origins

Condemned has what every horror game needs. Excellent atmosphere, with a true sense of vulnerability. You play as an ex-FBI agent mind you but you're placed into a messed up set of circumstances, where you find yourself only armed with pottery and the nearest blunt object you can find. Add that with an excellent combat system, where the melee attacks feel authentic and less preposterous as thus you have to plan out your attack -- With Regenerating health still having the red wavy-lines appear in Microsoft Word(Did you mean? Stupid casual bullshit), you're at incredible risk all the time as you try to puzzle yourself through crime scenes looking for a serial killer, while beating down psychotic hobos and drug dealers off the acid. This is where the game comes alive -- The hobos are generally just dudes but it feels like something is wrong with them, more than usual, and when you catch a sound of something brandishing their pipe to come and whack you over the head then you'll feel the tense scare factor of Condemned.
Honorable Mentions:
P.T (KojiPro's SiRENT HIRRS DEMO!)
It's got KojiPros traits there -- The eerie fourth-wall-breaking moments of Metal Gear, and it feels like it's taken some cues from Eternal Darkness & Silent Hill 4 by having the game mess with your sanity, while placing you into a recurring claustrophobic hall-way. It's got promise but I don't know if I'd call it a Silent Hill game yet.
Alan Wake
Excellent storytelling, nice atmosphere when you're outside in the forest, mostly held back by the irritating episodic layout "PREVIOUSLY ON ALAN WAKE" that only serves to kill any sense of tension you might have had. Plus it's got some of the usual jarring stock characters of western horror, like the fat comedy side kick and the tough female cop. Disregarding that -- Alan Wake is excellent.
System Shock 2 & BioShock
The former has one of the best villains of all time and it brought about the eventual of creation of the BioShock series. Ken Levine had something going with System Shock 2. I loved it for its atmosphere, its setting (being an abandoned space ship) that has been taken over by a rogue-AI who's out for revenge. The story being related through audio logs, ghostly apparitions, feels more in-tune with the genre, whereas cutscenes would have only ruined the horror-aspect. It gets a mention for being a classic all in all.