Seconding the Silent Hill and Fatal Frame suggestions--I haven't played them yet, either, but that's mainly because I've only just gotten into gaming. The Silent Hill series is supposed to be one of the best horror series, and I've heard nothing but good about Fatal Frame and had a friend highly recommend it to me.
Also, I'd suggest, for an RPG, Kingdom Hearts. It's a really good game with a great story, something I wouldn't have believed before I started playing it.
Another good game is Okami--it is, hands down, the single prettiest game you will ever, ever play, and it's really, really good. The first time I completed a section and saw the gray, dead part of the world explode into a riot of green color and life, my breath was literally taken it, it was that gorgeous. I can't recommend it enough.