Silent Hill 2. At that time no other game had me so immersed in it's atmosphere. I'd always loved horror films and scary stories, and SH 1 was VERY freaky and very unique in it's day, but I was so intrigued by SH2's story, and so impressed with how skillfully Team Silent created James' mystery, the other characters, Mary and Maria, the whole sense of misery and dread, I got so wrapped up in their F'd up world that I really feared opening doors in the hospital and walking through the prison. Wow.
So many games are just fetch quests dressed up in particle effects, a few fun gaming mechanics and a tacked on story, but SH2 did everything right. And I met it halfway too, only playing alone at night with the lights out and headphones. I've never had so much fun being scared.
Siren did a lot of things right, but they had some pretty broken controls, and that took some of the fun away.
Fatal Frame 1/2; definitely!