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The Corpse Party games can be pretty creepy; I actually consider the Silent Hill and Corpse Party series the two scariest I've experienced (I don't get scared very easily, though they've both unnerved me more consistantly than most games).
If you do play Corpse Party, definitely start with the first PSP game (simply called "Corpse Party" for its English release) and not Book of Shadows though. While Corpse Party: Book of Shadows is also a pretty good horror game, it was intended for people who already played the previous game, since it assumes the player is already familiar with the previous game in the series, and mainly serves fill in certain gaps and expand on the plot to an extent.