the silent hill games creep me out, as does forbidden siren and resident evil 4. Silent hill is the creepiest, I think. Forbidden Siren is only creepy because, if you're found by a zombie, theres absolutely nothing you can do. You can shoot them, and even run them over in some cases, but you're always outnumbered. Plus, the sightjacking is disturbing.
Resident evil 4 is scary because it catches you when you least expect it, but you usually have enough firepower to see whatever it is off.