Amnesia: The Dark Descent
 

Ever played it? If not, it's a really atmospheric game. You play as a man who, well, has amnesia, and wakes up in this empty, aging castle. As you play throughout the game you learn why he's in the castle, his past, and are chased by a recurring monster. I was on edge the entire game, which is saying something when sudden noises in horror films don't phase me anymore. It's the best horror game I've ever played- I'd definitely recommend it, and it's on Steam, too. :)

I agree, and play it in the dark with headphones. Your inability to fight back against anything that might take your life makes this game really creepy and very satisfying.