The Silent Hill series is an obvious shout; Silent Hill 2 is (quite rightly) considered one of the greatest horror games of all time, and I was also quite partial to the fourth installment (The Room) as well. Yes, the protagonist was a bit of a 'tard, but I loved the setting and execution of the game as a whole.
Now, scary games are all well and good. I love me a good jump scare. But the game that disturbed me the most? The game that left me creeped out, lying awake in bed long after I finished it just trying to process what the fuck I had experienced?
That would be Saya No Uta (Song Of Saya).
I don't really do games like it (visual novels are a weird thing for me). But a friend (and those chaps at Extra Credits) recommended it, so check it out I did. And yeah, it claims the title of the most disturbing, grotesque and fucked up thing I've played.
Song Of Saya isn't really what you'd call a cheery game. You won't have what you'd call fun playing it, but if you're really into horror you'll enjoy the experience it sends you on.