"Horror" as in games that are scary or "Horror" as in bad? I'm just going to assume you mean the first one, skip any comments about Big Rigs or ET and move on.
Half-Life is the first, and so far, only game that has ever gotten me at all freaked out. That's the one Valve should be labeling as a survival-horror game. Left 4 Dead lacks both of these genres. (You can get Half-Life on PlayStation or PlayStation 2. Your choice.)
Maybe Dead Island. I haven't played it myself. I hear some say it's awful and some say it's amazing, so, it's got to be one of those really out-there-sort-of-unusual types of games.
The Silent Hill series also seems rather good. I'd recommend getting the originals, rather than the recent titles or HD-remakes.
Then, there's also the Metal Gear games. Particularity Metal Gear Solid. Now, I know some of you people are going to call this one a stretch, but, horror doesn't just mean freaky monsters, shadows, infections and all that. There's the dread of being spotted, trying to keep quiet and completely unnoticed. Plus, it's also got this guy: http://www.youtube.com/watch?v=ayZG-RJCUYs