I like horror games, although admittedly have played so many that I've largely become desensitized to them.  That said, here is my list of games I found scary:
Fatal Frame series - Fatal Frame 2 is probably the scariest game I've ever played.  Creepy atmosphere, disturbing ghosts and plenty of jumpscares.  By the time I got to the third game, I was somewhat desensitized, but it's an overall very creepy series.
F.E.A.R. - Lots of jumpscares and atmosphere the first time through.  Second time through, not so much.  By now I've played it 4-5 times and it's not scary at all anymore.  Ditto with the expansions and sequels.
Silent Hill 3 - My personal favorite of the series and arguably the most atmospheric.  A lot of people pick Silent Hill 2, but I've always found 3 to be my fav.
Penumbra 2 - The first Penumbra game had mediocre combat.  So they removed it for the second game.  As a result, you can only hide from enemies and pray they don't find you.  Predates games like Amnesia and Outlast with this game mechanic.
Five Nights at Freddy's - A quasi-horror/puzzle game, this game creates a lot of suspense, especially watching your power tick towards zero as you keep hoping for the sun to come up.
One Late Night - As if working late in the office wasn't scary enough, then mysterious supernatural things start to happen...