I thought I was the only person who enjoyed Jericho! I know it got slammed for many reasons, a lot of them valid, but I'm a huge Clive Barker fan and the action was pretty damn good. Story wasn't super-horrendous either, and the monsters for quite horrific.
HATEYOUHATEYOUHATEYOUHATEYOUHATEYOUHATEYOUHATEYOUHATEYOU
Majestic fuckbeans, the Fatal Frame series is scary. Take everything errie about Silent Hill (a series which I also love), add in Japanese folklore and ghost stories, remove weapons from the game, and make the battle mechanic as follows: your only method of attack is a camera, the only way you do damage is taking a picture, and you only do the most damage if you let the ghost get UNSPEAKABLE CLOSE UP AND PERSONAL. This is, by far, the greatest implementation of risk-and-reward in a battle system I've ever seen. If you can, start with the first game, but even if you can't find it, do not skip out on FF2: Crimson Butterfly. There are some unspeakable things in that game.
I'm echoing Fatal Frame, Penumbra, Condemned, Dead Space, Silent Hill, and Eternal Darkness. Also throwing Doom 3 into the ring, along with:
* Call of Cthulhu (if just for the chase scene, the whole game is quite good though)
* I Have No Mouth And I Must Scream (even if you don't play it, watch a playthrough: seriously disturbing and fucked up)
* Cryostasis
I'm sure I've got more, but I can't think of them right now.