Just started playing through Condemned again last night (trying to unlock all of the achievements on it). I realize, that is a really intense game.
The first horror video game I played was Resident Evil, and I remember that scared the hell out of me at times. Especially when I read the words, "He's been pecked to death." Anybody who's played it will remember that moment.
Never played F.E.A.R., but I do have the first one for the 360.
Let's not forget Dead Space, which is a criminally overlooked game.
Horror is awesome. Video games are awesome. Put them both together - DOUBLE AWESOME!