These are my favorites in order, and I will explain why I like them so much.
Resident Evil remake: Resident Evil on the Playstation was the very first survival horror game I ever played, and the remake of the first game for the GameCube fixed a lot of problems from the original (like the terrible voice acting and graphics) and really made it into a perfect horror game. Plus I love how this game is about zombies and shares a similar theme to the movie Night of the Living Dead which is one of my favorite movies.
Silent Hill 3: This is the only Silent Hill game that features a female character as the main protagonist, and I really like this character named Heather because she seems like a very realistic American teenager in my opinion. I also love the disturbing nightmare world and the deformed monsters you have to fight, my favorite is the zombie-like nurses who attack Heather with lead pipes and revolvers.
Haunting Ground: This horror game had a very unique theme in that the heroine Fiona had a pet dog who she had to train to fight enemies, solve puzzles, and find hidden items. It's also interesting because the Game Over sequences never show the heroine get killed, but you hear her getting brutally murdered off camera like in those classic slasher films (such as Alfred Hitchcock's Psycho). For some reason I also love the cheeky pervertedness of this game, like how Fiona's boobs are always bouncing as she runs and how she has some really kinky outfits to unlock like a bikini cowgirl and dominatrix costume.
Legend of Zelda: Ocarina of Time: One of the games I remember playing from my childhood that I still enjoy playing today. The Legend of Zelda games have almost everything and let you do all sorts of cool stuff like ride horses, collect stuff in empty bottles, visit fairy fountains, etc.
Legend of Zelda: Majora's Mask: I love this game because it's so similar to Ocarina of Time yet it's set in an entirely new world called Termina to explore. I kind of get sick of seeing Hyrule in every game.