The kick ass horror/adventure games by Ben "Yahtzee" Croshaw that stars the equally bad ass gentelman thief, Trilby.
1.5 Days A Stranger
2.7 Days A Skeptic
4.6 Days A Sacrifice.
The first two games are more like interactive slasher films and aren't that scary while the last two follow more closer to an HP Lovecraft book and will make you pee your pants.
Also note that 5 Days, 6 Days, and 7 Days all take place at 196 year intervals in that order, with Notes taking place right after 5 Days, but they don't really make sense unless you play them in order of their release, which is stated above.