I suggest Amnesia, Silent Hill series, and the Fatal Frame series if you're looking for pure horror games. They all do atmosphere really well. Demon's souls and Dark souls have a dark atmosphere but they're action rpg's. Shin Megami Tensei Nocturne, for the ps2 is a macabre rpg, basically a dark and twisted pokemon. Eternal Darkness for gamecube is an action adventure game with a disturbing and mindfucky atmosphere. I've heard Alan Wake can be pretty unnerving too, though I've never played it. The Fallout games can have a pretty dark atmosphere too. Also, Psychonauts is a comedy game, so it's probably the opposite of what you're looking for XD
Thief: Deadly Shadows (Especially the last level, Shalebridge Cradle, runs on modern PCs and you can get it via steam, the whole series is good for creepy but I'm not sure if the older games can run on modern PCs) Project Zero/Fatal Frame II: Crimson Butterfly (Kind of hard to find as it's a PS2/Original XBOX game)
silent hill, l4d, alien vs predator, fear, edna bricht aus (am ende zumindest), uncharted, the darkness, .. und andere die mir jetzt nicht einfallen.. die spiele liegen vor mir aber ich komm nicht dran xD
If you can get into the atmosphere without needing full 3D enviroments with awesometastic graphics, you may want to look for flash games. I'm not going to recommend you anything in particular, because what's scary for me may be a walk in the park for you, since I'm easily scared.