Call of Cthulhu is a pretty creepy and actually very good game.
You should also read the short story
Other recommendations:
- I Have No Mouth And I Must Scream
- Phantasmagoria I & II
- Darkseed I & II
- Alone In The Dark Series (if you can get it to work)
Edit: Really great & creepy non-adventure games: Clive Barker's Undying, System Shock 2