I'll add a chime in for Silent Hill 1 and 2, maybe 3. SH 2 is in my opinion the best, and SH 1 is good (the aged graphics honestly just make it better I think, the incomprehensible textures and things add a layer of surreal creepy). SH 3 is not bad, although it loses a lot of the scariness factor when they give you an automatic weapon, it's just not as good as the previous two. SH 4 has its moments, but they're fewer and further between. SH Origins is frustrating because it has some cheap tricks, and SH Homecoming was... a lot of poor decisions in a row. SH Shattered Memories has a neat story, but I think it totally lost the atmosphere which makes it inferior. Also, I hate blind mazes.
The main thing to watch out for in SH 1, 2, and 3, is the difficulty settings. Combat difficulty should really always be left at minimum. I can't remember if SH1 has separate combat/puzzle difficulty settings, but SH 2 and 3 do. I like to crank puzzles up to max but leave combat at minimum, because the combat in the games is already bad enough without giving the monsters 3 million HP. Really weird hit detection and sluggish controls means you do not want to be playing these games if you're looking for a fight--generally, running away is the better option. I think that adds to the game rather than detracts from it, personally, since I prefer horror games where the atmosphere is what messes with you most, and the scariest parts are the long stretches where you don't see any enemies at all.
Eternal Darkness: Sanity's Requiem is also good. I wouldn't say it's as scary, per say, since you easily mow through whole hordes of enemies, but it has great atmosphere, and the insanity system is the best-done that I've yet seen in a game with the freakish hallucinations that pull some really great tricks time to time. The main problem with that game is it's kind of rare, so very expensive to buy nowadays.
Someone mentioned The Void earlier, which I agree is a good game, although I found it utterly impossible without the extensive use of a guide--the resource management seems so demandingly finicky to me that I eventually just started using console commands so I didn't die of lack of color after saving in a spot where I literally could not get enough to survive to the next cycle. Maybe I'm just too wasteful, I dunno. It has some great freaky-enemies though, and the general weird atmosphere is well-done.