So,I have some money to spend and I want a good horror game.
Please recommend me 3 games that you think are great

Amnesia, Condemned and Dead Space 2.

Amnesia, Scratches (you can get this game on GOG) and Call of Cthulhu: Dark corners of the earth.

Sorry if I sound rude but I mean GOG games

In that case Realms of the Haunting is still really good. Sanitarium and Blood are sort of horror-themed and damn good too.

Are the Phantasmagoria games worth the money??

I remember how good and well-made the first Alone In the Dark was. Anyway, it probably will not do a thing to scare you now. Besides, I have heard the latest part was terrible and also I definitely do not specialize in horror games. Just decided to share my memories. :P

I love Alone in the Dark, but it's old and not so scary any more. Blood is also one of my favourites, but it's really a shooter with a horror theme. Dead Space is pretty good, I played it on PC. Some people had problems with mouse lag, but I never had an issue. Condemned is pretty good too, and I would recommend F.E.A.R. (I was particularly fond of Perseus Mandate myself). Scratches was good, though I never finished it. Call of Cthulhu: Dark Corners of the Earth is good, but I need to finish it up (I would also suggest using the patch thing to increase your movement speed, otherwise you're ridiculously slow, to the point of it being nearly game-breaking at the end). The Thing was pretty good, I enjoyed it a lot. Of course, System Shock 2 is a huge one. The 7th Guest is pretty good too.

So, I would break it down to 3 like this:

Dead Space
Scratches
Blood

If you're willing to get into emulation, there's a fan translation of the first Clock Tower for the SNES out there.

EDIT: Fuuuuuuuuck, I spent to long typing this. Scratch Dead Space and replace with Alone in the Dark.

I only ever played the first one, but I found that scary as hell. Of course, I was a lot younger then, and I'm not sure it's aged very well, but I do plan on replaying it someday.

Alone in the Dark, Sanitarium and Realms of the Haunting.

I wouldn't call Sanitarium horror, but it certainly is creepy in places, and an absolutely fantastic game. It's one of the rare examples of adventure games made specifically with an adult audience in mind.

Friday the 13th on the NES.

I like Phantasmagoria a lot, but your mileage may vary. However, Phantasmagoria 2 is bad.

On any platform?

Amnesia, Silent Hill 2 and System Shock 2

Play Penumbra: Collection first. Then play Amnesia.