Silent Hill & Resident Evil games. I basically nearly shit my pants playing those. I'd probably say Silent Hill had the much better atmosphere & ambiance. The fog, the weird ass monsters, the sounds and music. Those guys are amazing at what they do.
Silent Hill 2 is probably one of the best games I've ever played, and I was fully immersed the whole way through.
I think Resident Evil 7 is surprisingly the scariest one. Something about the first person view, I had to pause a few times because my heart was beating with headphones on. I couldn't play VR.
Also, I need to give a shout out to Outlast as well. The fact you have to hide and not fight back was just too much for me, I'm so used to being able to fight back in games. I literally took a years break from finishing the game because it fucked me up that bad.