"I Have No Mouth and I Must Scream" (1995) was creepy. It was based on a short story by the same name (1967) by Harlan Ellison. There was no real way to win, only to die heroically.
Is "I Have No Mouth and I Must Scream" freeware? Or can I buy it somewhere?
From the list, I would say Doom 3, followed by FEAR. After playing a few minutes of it, I had to quit because I was so scared. FEAR was scary, but in an awesome way. They did a lot of creative stuff to be scary.
Myst scared me when I was younger. Something about being on a deserted island, feeling like I was being watched. Then the talking books freaked me out.