For me, it's a little-known game called Echo Night: Beyond.

The whole game is very atmospheric. You start off completely alone on a commercial shuttle that crash-landed on the moon. Everyone around you is gone, and as you progress off the shuttle and into the big station on the moon, you begin encountering ghosts of people who have died on the station. Your task is to find out what happened on the station, why everyone is dead, all the while avoiding the hostile ghosts (who can kill you) and helping the nice ones.

It's in first-person, and you have stats on your screen including your heart rate. When you encounter hostile ghosts, your heart rate shoots up, which causes the edges of your screen to begin blacking out. If you heart rate shoots too high, you eventually have a heart attack, and it's game over. You use monitoring stations to look at video camera feeds from around the area to see ahead to find where the ghosts are to help you figure out what to do.

Really, the creepy part of it is the atmosphere. The flickering lights, the clink-clink of your boots as they echo on the metal walkway, the squeaking of a broken monitor swinging fron a few wires, the sound of your own breathing... the sense of total isolation.

I may not be describing it well, but this game is freaky and fantastic. I can't play it alone, and I can't play it at night. Needless to say, I've never finished it.

Here's the teaser thingie that plays when you stick the game in and don't hit a button: http://www.youtube.com/watch?v=jB9dLLGOp9A

Highly, highly recommended.