Some suggestions of games that scared me: Undying, Silent Hill 2, Call of Cthulu, Nocturne (+ Blair Witch Volume 1), S.T.A.L.K.E.R., Dead Island.
@Kentelyoo Thanks! I think we have a few of those on the list but we'll add the others.
I'm out of ideas, myself. I can think of a few stressful games or ones that have there little moments, but they aren't horror genre type. (for example, Indigo Prophecy.)
Honestly, I've always found Fatal Frame/Project Zero to be the scariest, mainly due to the sounds and the constant children chanting, than anything else.
I do think Haunting Ground would be fun to watch, in the idea of the commentary you'll likely be saying to one another.
I never played it but Obscure is supposed to be like one of those teenage horror flick type of games. But as the title is named, the game is very Obscure to find (although the PC version is likely easier to get, but how well it's ported I also wouldn't know.). Obscure Aftermath is much easier to find but I've heard it's not as good.