Silent Hill 1, the hospital. It's fucking creepy, 'cause in the beginning there aren't any enemies to be seen even though the backround music is fucking eerie. Then suddenly it gets really dark, but still no enemies. Then the walls begin to look like they're covered in dried blood and rust and the music is thumping louder. That combined with the distant moaning of the nurses had me crapping my pants. And the hospital cellar...yikes.
Even though not really scary, I loved the creepy atmosphere of the apartment in Silent Hill 4. Reminded me of Roman Polanski's "The Tenent". Too bad the game was kinda gay towards the end.
The underground labs in Stalker