Played a few of them: most of the Silent Hill games, all of the Fatal Frame games, and some other obscure ones.
In terms of overall experience, Silent Hill 2 is at the top of my list. Atmosphere is frightening, and the story, for a horror game, is rather deep. Much prefer the psychological type of horror games.
Rule of Rose, while not as good, is another one which at times is just downright creepy. Gameplay sucks, but if you can get past that, the story and overall feel are pretty well done.
I really haven't played any horror games from the current generation. Been wanting to play Amnesia for awhile, but keep putting it off. Heard it's a pretty awesome.