Mine is Silent Hill 3. Its subject matter revolves around the fears of a teenage girl, like death of a parent, puberty, unwanted pregnancy (with a demon fetus, no less), mirrors (THAT ROOM shivers), and stalkers. The atmosphere is so oppressive and I cant play the game without having something else playing in the background, its that horrifying. I managed to finish Silent Hill 2 last year, which was like conquering my own fears. One day, I’ll finish SH3. One day.
I didn’t play much horror, but I always thought the FEAR games were badass. Lots of jump scares, crazy storyline, and solid game play. Also loved the Deadspace series… Not having a HUD but finding clever ways to provide information to the player was pretty ground breaking at the time.