I'm a little late to this thread, but I wanted to throw in a suggestion or two, especially since people already mentioned a couple of great series!
I haven't gotten around to playing Amnesia, but the three short Penumbra game on PC was made by the same studio and it is quite a scary game too. One of the things that makes it so intense is that you have no weapons and have to hide from everything essentially. It is a budget title but still really worth playing.
I'm glad someone mentioned Condemned too. I've only played Condemned 2, but it definitely has an unsettling environment and there is a part with a bear in that game that will keep you on your toes to say the least.