I don't play survival horror games but one visual novel (I think?) on the DS that really gave me the chills was 999: 9 Hours, 9 Persons, 9 Doors. It has sci-fi, suspense and horror themes in it with multiple bad endings. When I played it, I got first the "neutral" ending which was more or less a cliffhanger. Then in my second playthrough, I got the WORST ending which is pure horror. Never in my life had I been so scared with a videogame or a movie or anything, I was literally trembling and almost could not sleep that night.