For me it's fatal frame 2 and silent hills p.t. An indie game called the groundskeeper gave me the chills too.
Edit1: Why is everyone saying outlast? It's not even that scary!
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I agree outlast isn't scary, but can be a bit spooky on insane (if you die you have to restart the campaign) P.T. actually made me fear for my sanity/life. I hadn't thrown off my mic before in a game until I played that. I was streaming and my friend kept telling me I was seeing things even though those things were clearly there . (He was probably lying but still) I never even beat it.