The obvious ones:
Silent Hills 1-3, especially 2 and 3 are a must include at the top of every list. I think 4 is pretty good as a horror experience and an interesting story too, although a lot of annoying gameplay elements are introduced.
The Resident Evil series is another very obvious inclusion. There are so many games, and a lot of them are more action oriented than horror, but the remakes of the first and second games are the obvious starting points.
Slightly lesser sung ones:
The Fatal Frame series is pretty good, although it has some silly elements. Most people say 3 is the best. I like 2 and 5 as well.
Haunting Ground is another top tier game, that's criminally underrated. It's also pretty much the unofficial fourth Clock Tower game, and fixed a lot of the issues in that series that have aged poorly or didn't work well to begin with.
I would consider all of those games that capture the essential survival horror experience. For more outside the box stuff, there are some RPG maker games, some of which you can get for free, like Mad Father, Ib, or Hello Charlotte. They obviously don't have anything close to the realistic graphics of AAA titles, and have to rely on other things like storytelling, sound design, and general weirdness to create a horror atmosphere. Because of that, they can be more of an acquired taste.