If we're talking about across all the different platforms, then I was always a fan of the Silent Hill series. While the film wasn't all that great (as most games that are made into films aren't) the games I thought certainly had that scary/atmospheric feel about them. Why Konami completed the most recent game in the series but then decided to shelve the project is beyond me, as most of the feedback from the demo's had been positive and people was looking forward to the game being released.