Several of my sentimental (and actual) favorites are on that list. Impossible to choose a single one. In no particular order of preference:
Resident Evil was the start of an amazing path that is still going strong 21 years later, as it is my favorite video game series of all time. The game was truly never "scary" even to young me, but the resource constraints (limited ammo/herbs/ribbons/inventory space/etc) and the enemy encounters definitely raised the tension. Amazing soundtrack to boot. I still play it to this day; REmake hasn't made this game obsolete for me.
Donkey Kong Country 3, is, in my eyes, still the absolute best DKC game. Everything about this game is spot on: the difficulty curve, the amazing "dark" soundtrack, level design that ranks with the best 2D platformers, just the right amount of collectibles that actually require some platforming skill, etc etc.
Street Fighter Zero 2 has arguably the best atmosphere of any Street Fighter game. It's got the best combination of a classic (but not overloaded) character roster, beautiful bright visuals, a fighting engine that was fun for casuals but also had depth for more advanced players (Custom Combos hnnnnggggg), to this day the best overall soundtrack, and a pretty competent Saturn port with one of the best art galleries I've seen in a classic fighting game. Between this game and Street Fighter III: New Generation, Capcom blew their load as far as presentation and atmosphere, and they
never recovered.
Talking about atmosphere... My young self could not handle how exciting and epic these battles felt: