Well I was going to suggest Fatal Frame II and Silent Hill but then that idea got shot down from the first post!

Resident Evil is good, but lays heavily on sudden scares rather than atmosphere. Which is fine if you like that sort of thing, but I much rather prefer atmosphere.
I'm gonna risk saying this because, I've only played a demo version and haven't even played the full game, but I say you should look out for System Shock 2. Yes, it's dated, yes it's for the PC, but,
it sounds pretty tempting.