Silent Hill 1, because I didn't have it but had the second and third games and wanted to get a primer on how it started, I watched through a Let's Play (it was a good one that made sure to keep all the surprises intact).
I also didn't play Resident Evil 1, the remake, on GC the first time through, my brother did and I watched. I played through it later, but I'm still very bad at it, so often I prefer watching others play it well than me fumbling around. Somehow it's still one of my favourite games ever.