The Silent Hill franchise is quite the classic regarding the Psychological Horror genre. However, if I have to choose what’s my favorite, I’d say it’s Silent Hill Shattered Memories.
…unfortunately, it’s only on Wii, PS2 & PSP, meaning it will be hard to try it out…. but I guess I could recommand Silent Hill 2 & 3… but, as well, their HD remaster or their port aren’t great. Hard to play the classics without emulation, I’d say.