Early resident evil series did horror games better than anybody else. It's a shame I pretty much know every window that breaks, car door that slams open, cutscenes, and pretty much every other scary aspect of the game like the back of my hand. I'd assume that even if you'd play RE 1 2 or 3 today you'll still at least jump a few times.
Other than that, a slightly more recent game, is Manhunt for the PS2. Its a pretty unknown game, but I remember it being pretty fucking scary. We're talking guys with baseball bats and clown masks creeping around corners when you have to remain stealthy so you can suffocate them with a bag, slit their throat, etc. It's an awesome game and I recommend it to anybody who can get their hands on it.