Penumbra series
Amnesia (The first one)
Condemned: Criminal Origins (not on GOG. Again the first one)
Alone in the Dark series
7th Guest and 11th hour
Deadspace
Deadly Premonition
System Shock 1 (if you can find it) and 2
I Have No Mouth and I Must Scream
Silent Hill series (not a huge fan but a lot of people like this series)
Resident Evil (not a huge fan but a lot of people like this series)
Phantasmgoria 1 and 2
Undying
Sanitarium
The Cat Lady
Vampire the Masquerade: Redemption
Vampire the Masquerade: Bloodlines (not on GOG)
Shadow Man
Post Mortem series
Gabriel Knight series
Dark Fall series
Pathologic
Waxworks
Pain Killer
Doom series (one fights demons from hell in a sci fi setting. So it at least has B horror troupe going for it)
BloodRayne (the first one)
Personal Nightmare
Quake (The first one. The soundtrack is done by none other than Trent Reznor of NIN)
Diablo (The first one. Throw in the Hellfire expansion if you can find it)
Left 4 Dead 2
Fear series
Ghostbusters
Slender: The 8 Pages
Alan Wake series
Honorable mentions (Games that aren't quite horror but are disturbing to be close to a horror game)
Fallout series
Analogue: A Hate Story
Here are some scary parts to games and not all are horror. Enjoy.
https://www.youtube.com/watch?v=XMNnhNr9hxc