You have to play The Evil Within! It is terrifying! Even when I played it I was on the edge of my seat. Especially when you play on the AKUMU mode. AKUMU mode is exactly like the Nightmare mode in every way except for one rule: one hit, and your toast. It is one of those games that even Markiplier played so you know it's good.
Well, since all the best ones have been said, I'll say any and all of 'Call of Duty: Zombies'!
Horror Games: Luigi's Mansion on the old GameCube. I'm kidding haha I can't think of any.
Not exactly horror, but I like Five Nights At Freddies, Slenderman, and Slenderman: Weeping Angels. They're scarey but not really that much gore if that's what you're looking for.
Fear, Silent Hill, Bioshock, or maybe Dead Space?