If you consider yourself a true fan of horror, you owe it to yourself to play the wealth of Half Life and Half Life 2 mods. Notably Afraid of Monsters for Half-Life and Nightmare House 2 for Half Life 2. In NH2's case, don't worry about playing the first one, because the first level of NH2 is a remake of the original and it's better than the original in every way.
Afraid of Monsters: Director's Cut (make SURE you play the Director's Cut) is bar none the scariest game I've ever played. It puts every single other game to goddamn shame. And the craziest thing? It was made by a teenager with no money, on an engine that was over a decade old. Some of you may not understand the significance of this, so allow me to repeat it in context for emphasis: EA, Capcom, Konami, and several other studios spend millions of dollars on tech, full staffs of professional writers, coders, artists, engineers, designers, etc., and develop specific tech and games with the sole intent of scaring people. Some teenager in Europe with no money, the basic ability to create assets on tech that was over a decade old made something that was scarier.
What the bloody fuck? All of you babies that think Dead Space and Resident Evil are scary would do well to play Afraid of Monsters.
That said, the game does break some of the things I hold dear in horror games- it gives you a decent amount of ammo and throws monsters at you, so it can feel VERY actiony at times, but somehow that doesn't remove the dense atmosphere and constant threat of angry, malicious danger. Additionally, the game is loaded with monster closets and jump scares, but it paces them intelligently, and fucks with you on several occasions by using, or not using them, so it somehow works.
I could go on and on about AoM, but goddammit, just go play it. I've yet to play Cry of Fear by the same guy yet.
Some other great mods to check out:
Mistake
Mistake -1 (prequel to the above)
They Hunger (three episodes long, huge game, well made, scary, fun, will last you for some time)
PARANOIA
Underhell: Prologue (Very original, very atmospheric and horrifying in parts)