Play them at night with the lights turned off to get the full experience :)
But anyway it would have to be Fatal Frame 2 Crimson Butterfly or Silent Hill 2
Fatal Frame surroundings and noises are just the scariest, they did a real good job on that. You get scared to wonder off to the same places again because you have no clue what's in store for you.
The whole setting of Silent Hill is just crazy amazing! The places just make you say what the hell is the back story to this place, which will send you off a chill to your spine. Just such an awesome game in many ways.