Siren is awesome, really. It's creepy and the way they did with the non-linear story telling is very clever. The only thing that's bad about the game in the first one are map system and mission system. But these are fixed in Siren 2. The game is pretty unforgiving as well when it comes to killing off the characters. (One of the mission is to commit suicide in order to let the other character survive....omg.)
I'd also recommend Haunting Ground aka Demento , since it's one of my favourite horror games and because I'm a sucker for clock tower series XD
I also second Rule Of Rose, if you can stand the poor battle system, the game reward you with one of the most interesting psychological horror story I've ever seen.
If you still own PS1 (or you can find ISO file) , the game Hell Night ( aka Dark Messiah for the japanese version) is REALLY scary. I still haven't beaten the game yet, though I'm on the last chapter now. The game is in first person point of view and you cannot do anything but run away and hide from the monsters. Once you can find a partner, you can use their ability to fight back or make you survive easier. The game feature multi endings since it depends on who's your partner ( you can only choose 1 from 5 - 6, I don't remember).
And if you own NDS, then I guess Twilight Syndrome ~ The Forbidden Urban Legend~ is pretty scary too. Though the game is in Japanese only
