Resident Evil and Silent Hill are the two big ones, but I've always liked Resident Evil a whole lot more.
There's other games out there... Fatal Frame is all about taking pictures so it hasn't gotten very popular (although it IS pretty scary). A heavily action-based horror game that's highly underrated is "The Suffering". I'm not sure about the sequel (Ties that Bind) or the new one coming out, but that first one was friggin awesome!