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...