Well, I've got some suggestions, all for PC.

Missing. (free to download here) This game is almost as shocking, mysterious and interesting as the Silent Hill series. Highly recommended, and not just for those who like adventure games. The story and atmosphere is worth it for everyone else.

The White Chamber. (also free to download) Another adventure game, kinda depressing, with a pretty good story.

Penumbra: Overture Well, this one isn't free to download, but there's a demo on the official site, which is worth trying. Pretty scary game, with nice graphics that adds a lot to the whole 'you're alone in the dark' feeling, and good physics/interaction with the environment. Check the screenshots to see what I mean.