I just bought this game and looking forward to playing it soon.
If you love this game I'm sure you'll love the following movies:
* In the Mouth of Madness
* Shutter Island - (Seen this movie last night, a friendly suggestion: Do not watch it right before you go to bed)
Now, your turn. Your suggestions please?
Thanks.

I'd definitely recommend:
Jacob's ladder
Session 9
The Attic Expeditions
along with In the Mouth of Madness as you said (I didn't really find Shutter island "scary/creepy" like I found those films or Sanitarium)

Stiller,
Thanks for the list. I had heard of "Jacob's Ladder" but I didn't know the others. "Session 9"s movie poster is rather scary. Let me see if I can find them.

Possibly A Tale of Two Sisters . . . deals with similar themes.

If you are talking about this http://www.imdb.com/title/tt0365376/ I'm afraid I'll pass, because Asian horror movies scare the hell out of me :) If you don't believe me try watching "Ringu" and "Dark Water".

I thought A Tale of Two Sisters was less scary overall than Ringu . . . though if you have a particular phobia of ghostly Asian girls with insane black hair, then you'll want to stay away from this movie too.