The Clock Tower series has always been one of my favorite horror games to watch.
Most people have never heard of it, and that's mainly because the original was a Japanese only game released for the Super Famicom (it was later ported to the PSX though). There were some sequels, and while they were ok, the original will always be the best.
The main premise of the game is that you and your friends have just been adopted, but there's a creepy small creature with scissors that wanders the mansion to kill you. What makes Clock Tower so great is its 16-bit cinematics (which are surprisingly pretty scary), and that it uses jump scares
and suspense to scare the player (ex: when running from the scissor man, you have to find a good hiding spot to get rid of him, and you can trip sometimes).
CREEPY SCREENSHOTS
EDIT: The site where I got most of the pictures won't make the pictures show up for some reason, so instead I posted a sprite sheet of the cinematics.
Also video montage