If you go to YouTube and check out PewDiePie's channel, then he has a bunch of horror games. Here are some~
Amnesia
Outlast
The Asylum
Kraven Manor
Dead Space
Dark Souls (its not really horror, but it is creepy!)
Bioshock (its not really horror, but it is creepy!)
Crooked Man (RPG maker)
Ao Oni (RPG maker)
Silent Hill
Mermaid Swamp (RPG maker)
Slender Man
Jeff the Killer