A lot of "horror" games seem to concentrate on only startling you. F.E.A.R., Dead Space, ect.
Real horror means a tense atmosphere and feeling scared even when there is no apparent threat to the player. Silent Hill series, System Shock 2, a few parts of Thief, and what I think is great: Penumbra. Penumbra is one scary game, and has a creepy atmosphere. It's more survival instead of action. The regretful thing is that they used to offer their first game for free, but after they realized how popular they were, they started charging for everything.
The demo is available though if you're interested: http://www.penumbra-overture.com/demo.php