So, the other day, I've played Amnesia: The Dark Descent.

It's scary. Quite scary, even. Yes, I would go as far as to describe it as genuinely terrifying. The athmosphere it has created in that first hour I played was amazing. There's no wonder its so easy to find reaction-videos of people screaming in fear for this game (though don't watch them so you don't spoiler it).
So if you like that kind of experience, by all means, go and buy it and support those developers! Not sure? Have a Review then!

I've also played Project Zero/Fatal Frame, which was also very scary (though it's far, far less so than Amnesia), and before that, Resident Evil 4 (which isn't very scary to be honest).

What other games of that kind does this community enjoy and recommend?