Depends on why I need comfort.
If I'm stuck it's sim and low-key survival games, things that can occupy my brain almost completely but without too much anxiety. Starbound, Cooking Simulator, Houseflipper, Banished, Medieval Dynasty, Subnautica, Satisfactory, Viscera Cleanup Detail, maybe Minecraft depending on modpack. Things that I can put most of my focus on but not so much that I can't chew on a problem in the background.
If I'm having high anxiety or panic attacks, somewhat ironically I'll go for horror games. At least that way I'm in control of the panic response. Fatal Frame is my big Comfort Game for this, but Dread Out, Visage, Silent Hill, Dead Space, Phasmophobia if my friends are about. Anything that gives me an actual reason to be feeling scared and panicky.
If I need to lose a couple hours, then it's strategy games. Civilization, Crusader Kings, Stellaris... games that eat up my attention and make me want to keep playing. If I absolutely cannot live in my own head right now, that's what I'll go to.
If I'm having big No Thoughts Head Empty hours then it's something super simple I can mill through without needing to think but still feel accomplished. Puzzle Quest and Stardew Valley, Story of Seasons, or Pumpkin Days are my big ones for this but anything in the same vein. Low pressure and forgiving games I can take my time with.