Ancient-Red-Dragon: The Corpse Party games are all good horror games, except for one that is called "Sweet Sachiko’s Hysteric Birthday Bash," which is much more of a comedy game than a horror (but the others are all full horror, and not at all comedy).
A new & improved version just came out yesterday of the first Corpse Party game.
Dead Space is also a good horror game, if you like games where the main challenge is trying to cope with always having very scarce amounts of ammo that you need to fight the monsters.
Prey is also a good horror game.
Really? You found ammo scarce in Dead Space? I almost never wanted for ammo going through it. My biggest problem was monster closets. In fact, Doom 3 and Dead Space felt very much a like to me, not that they play anything alike.