The Dead Space games were my favorite. Not exactly zombies, but fairly close.

Last of Us was great as well. The Walking Dead was good, but I never played through it a second time.

Grand Theft Galapagos - Darwin's evolutionary change from rowboat operator, to shell shocked adventurer in a tropical paradise!

F.E.A.R. gets my vote. I'm a fatherof 3 girls...little girls scare me :P

Condemned was agreat game as well. I did not however find either of them to be all that scary in truth, just good games with great story lines that had some mystery and suspense to each of them.