I can name a few:
Outlast - No fighting back, you have a camera.... You are trapped in an insane asylum. That's just the tip of the iceberg...
Outlast II - Like the first, but you are in a religious village. That's all I am going to say...
Amnesia: The Dark Descent - Same as outlast, but takes place in a mansion. This game will test your sanity.
Resident Evil HD - You can guess why this is on here.
Resident Evil 4 - Reinvented the RE franchise. I STILL get scared when I hear that chainsaw revving....
Resident Evil 7 - Did the same as RE 4 but upped the scare factor to 11.
The Evil Within - Made by the people who created RE. It has it's moments of pure horror, even homage to RE.
Sanity's Requiem - Never played it, but heard it was REALLY scary and messed with your head.
Harvester - Words cannot describe this game, you just gotta check it out for yourself.
F.E.A.R. - The title alone should give it away. I haven't played this either, but I hear it messes with your head.
Bendy and the Ink Machine - Relatively new and not complete, it answers that question we all have... What if Disney went bad?
Alien Isolation - All the horror of the original movie, with robots called Working Joes thrown in there for good measure.
There are MANY more I can list, but my computer is acting up. Let me know if you try any of these games, they are worth your time.