Hmm... Scary games huh?
Definitely Clocktower 3.
Spoiler:One time my friend decided to play it in complete darkness. She was in chapter 4. Creepy hospital. Hid in the bathroom stalls. He seemingly disappeared, the music went away and we heard him teleport. She comes out. Starts walking. "Hello Alissa!" We nearly crapped ourselves because he popped out of the broken stall!
Spoiler: Also one time in chapter one I was playing and I was expecting the guy to pop out of a door. The other people didn't. Everyone, including me, jumped when he did because I was right in front of the freakin door!
Haunting Ground, similar to CT3, but more realistic.
If you happen to like shooters there is Dead Space, F.E.A.R., and Bioshock.
I've also heard Fatal Frame is creepy.
Whoever said Siren, that stuff is way scary because you really have no idea what you're doing.
Exmortis is a very creepy freeware series.
Stone of Anamara is also kinda creepy.
Hope that helps!