[TotalAnarchy]

I'm assuming games like HL2 are no-brainers for the list, thus I'm not going to include them. I'll be also limiting myself to only games I have played personally, since otherwise I can write entire books. Also, I'm not going to mention games already posted by the others in this thread.

-Silent Hill series. You can even play the main parts on the PC. The ports are decent. That's not the problem. I think on PC it's less scary, because you can control the characters easier. The game remains scary though, and it's still one of my favourite.
*The first part, even though not released on PC, has an unofficial PC port, which is also decently made.
-Max Payne series. My personal opinion is that the second part is worse than the first.
-World in Conflict. I'm not sure about this one. Of course the game is great, even though really short, but I wouldn't really say it's a must-play.
-Neverwinter Nights series. Some people hate it, I don't.
-Indigo Prophecy (aka Fahrenheit). Great storyline and atmosphere, a bit exaggerated at the end. Mostly an adventure game, but with interesting fighting sequences.
-Call of Cthulhu: Dark Corners of the Earth. One of the few western survival horrors. If we consider the Penumbra games as simple adventures, then this one's probably the only survival horror with a first-person perspective.
-Penumbra series. Horror adventure games based on sneaking and isolation. Great stuff.
-Tribes series. Fly and kill.
-Titan Quest. Just because it's better than both Diablos.
-SiN series. An alternative to HL series. Too bad the episodes were cancelled after the first.
-Shenmue series. The only games on this list not released on PC.
-Castlevania series. I changed my mind. Play these too, the ones before 2000.
-Giants: Citizen Kabuto. I was kind of disappointed there were no humans involved in this game.
-Syberia series. Original adventure games. Follow the trace of the lost Mammoths.
-The Suffering series. Action horror games, based on moral choices.
-SWAT 4. Haven't played the rest of them, but this one rocks.
-Age of Wonders series. Found it kind of difficult, but this is definitely a must-try.
-Europa Universalis series. Lost hundreds of hours on these.
-XIII. You might want to try this one, mainly because of the graphics/design. The rest is great too, but nothing that wasn't done before.
-Sherlock Holmes: The Awakened. Great Cthulhu-themed adventure game with free movement and fp perspective, just like in Penumbra.
-Legacy of Kain series. Just because cool people play it. Seriously though, great games.

Also take a look at Dark Earth and Savage: Battle for Newerth, though a bit more polishing was needed for these games.