Like someone has already mentioned, I would reccomend Silent Hill 4. I just got it. Awesome.
It's sooooo scary and disturbing, and has some interesting puzzle-like things. Also, the whole concept of the game is very interesting, but really creepy at the same time.
I would also say Silent Hill 3 just because of the amazing story, but you would have to have played the original game first.
Oooh, also you should try Zone of the Enders and ZOE2. Very good. Big mech fighting action, and the 2nd one has cool anime cut scenes.