I never played horror games when I was a kid, but Dead Space and Amnesia: The Dark Descent were the two games that really solidified what I wanted out of a horror game. Having the ability to defend yourself instead of running is still something that makes or breaks a horror game for me.

Eternal Darkness for the Gamecube. Got me more into Lovecraftian horror and horror in general.

Phantasmagoria by Sierra Online.

Silent Hill 2 on ps2

F.E.A.R. and Penumbra

Thief, the dark project + my brand new EAX 4 speaker surround system... hoooly shit

Eyes

One of two. Ghosts and Ghouls on snes, I was like 4 but wasn't scared. And the other one is not a horror game but for 6 year old me it was scary as shit, Halo CE. The Library level and the one before, 343 Guilty Spark, were hell for me. Beating those levels was a goddamn relief.

Shivers - that game absolutely nailed the atmosphere, and for the players that don't know the ixupi hotspots and the game's tricks, it's genuinely terrifying. I'd say give it a look, on GoG you could do worse for six bucks.

Not sure it counts, but I played a loooot of Killing Floor in my early teens.

Fatal Frame II: Crimson Butterfly

The old Japanese village scene with the super dark graveyard area. Somehow the image still stuck hard in my head.

Master of Darkness on the Sega Master System. The soundtrack was haunting.