Already been mentioned a ton of times, but Silent Hill series (any of them. Some are more creepy than scary, but still good.), The Gamecube remake of Resident Evil is amazing as a survival horror game, or go with any of the other Resident Evil games too, except for Code Veronica (hell, RE: Gun Survivor is better than Code Veronica.)

Also the Fatal Frame games from what I have heard, I never got too much into the first one, but I didn't have much of a chance at the time.

Eternal Darkness for the Gamecube is amazing in Lovecraftian horror. Maybe not exactly scary, but creepy and at times disturbing. There are plenty more actually, but right now I just don't feel like rehashing what everyone else has already said.

Later.