Silent Hill 1 for the PS1. Still got the best atmosphere and textures for real horror. The alternate versions of reality are great for that oppressive feeling. Alternate Midwich Elementary is almost too much.
Running through the Alternate Shopping District at night with the light off (to help avoid monsters), between the giant rotating windmills over the rust/blood/fecal texture of the metal grating over an infinite drop, hearing the radio detection of the monsters, and the monsters themselves is a nightmare trip all too few games are willing to put a player through.
Most regard Survival Horror as being all about the combat. The first two Silent Hil games are all about the atmosphere, combat's there to give you something to worry about.