It’s pretty different from the other games listed so far, but I’ll toss it a recommendation for Oxenfree. At least for me, that game did oppressive creepy atmosphere better than just about any other I’ve played. When it first came out we were dealing with a massive heatwave and I would be shivering while playing it in a 100f+ apartment.

An older one I always really like as well was the very first F.E.A.R. game.