I only just recently got to play Parasite Eve (thanks sharky!) I didn't really find it all that scary, but it is a great game! That being said, I've yet to find a game or movie that has actually scared me, so eh.

The Silent Hill series is my favorite so far I'd say, with 3 being my favorite. Someday I need to get around to beating SH3 though. Was playing my roommate's copy in college and got all the way to the end, but then student teaching happened and we moved out before I could finish it.

I own the first two Fatal Frame games and will get around to playing them eventually. They look way fun.

On a semi-related note, Shin Megami Tensei 3: Nocturne almost had a horror atmosphere to me at the very beginning of the game when I first started playing it.The game isn't scary at all from the little I've played, but it kind of made me think that it would be kind of cool to see the SMT people do a full on horror game.