I've never played fatal frame but it has gotten some very good response.
On a side note, it's not really a horror game but Fallout 1 had a pretty thrilling storyline despite the humorous elements and the whole atmosphere of the game is extremely eerie. It's a role-playing game in it's core but I actually thought the storyline was pretty creepy. You might want to look it up on GOG, they've got some really good pricing.
Also, Yahtzee from Zero Punctuation made some pretty good point and click adventure game, they all had some pretty creepy atmosphere and mysterious storyline, they are free and you might want to look them up too.