Bioshock has some creepy moments and I love it
Dead Space gets scary at first but after a while you get kinda used to enemies popping out of nowhere
I have played through the 2nd Condemned and thought it was ok, ending was dumb though
Am somewhat interested in the Silent Hill series
F.E.A.R is a good one, if you're a fan of FPSs, I definitely recommend it. Can't say I'm too fond of the new one, it feels like they're more focused on making an action game as opposed to a horror.