I think Echo Night Beyond earns a mention. I've never completed it, but it's one of the most atmospheric games I've ever played brimming with mystery. The game is really beautiful too, you explore a haunted space station. There is no combat so your only way to combat the ghost is to run away before you have a heart attack. Definitely worth getting, especially if you're a big collector. There's a game before it called Echo Night on the PS1. I own it but have never played it, so I don't know if it's any good or not.
Blood Will Tell is a good one too. Terrible camera system, but some of my favorite boss battles. You play as a samurai who had 48 body parts taken from some fiends and you have to get them back by defeating them. It's cool getting back your arms and legs and stuff as you play. Really unique idea I think.
