I've mentioned in the past that I am not much of a videogamer. So when I find a list from someone who sounds like they know what they are talking about, I'm not afraid to share it with you. That said, you should check out Bloody Disgusting's list of the 13 most atmospheric horror games.
The list includes "Silent Hill 2," "BioShock" and "Alan Wake," a game I really want to try playing. Tragically, none of the games on this list are on the Wii, the only game console in my house.