I recently finished Amnesia and it was the scariest game I've ever played.
I also like to remember when I just escaped from the water horror monster and felt "safe" again in the nice big room with the releasing music. But then came the storage room, where I literally had to give the game a short break of a few days before I gathered up enough motivation again to continue.
After that I could make quite a progress again.....until the prison part which was soooo scary.
After I finished Amnesia I started to try out the Penumbra games (already finished Overture and am currently in the early part of Black Plague) which are quite scary to. Just when I entered the first bigger mine part with the dog patrolling around it was so god damn creepy. Later on the game was still very scary, but not as much anymore just due to the fact that you can defend yourself. I ended up camping on a box and then jump down, slash the dog and jump onto the bog again.
PS: I only played it during night in a darkroom and with headphones on. Best experience and the "true man mode"