Alan Wake! (I know it's a 6 year old game, but I really think it is excellent and scary.)
Also, Limbo (there is an enhanced version for the self punishing owners of current gen PS4/Xbox One - with a super evil and mean dark bonus level!)
Gee, I sure hope that is a friendly spider!
I got Slenderman last year, but so far it's just been frustrating.
Also, the Walking Dead is another good one!