I'm not much of a horror guy but I think you can find horror in a lot of places if you're open to it.
I have actually been terrified of Final Fantasy 7 and 8. I know they're not horror titles by genre but they really have had some bizarrely scary moments in them, namely through attachment to the plot, like knowing how powerful a character is, or feeling a time limit that isn't there. There's several particular moments, so, *spoilers*.
In 7, seeing Jenova for the first time freaked me the hell out. I was a lot younger then, but it was really freaky at the time. Thus, when the ***** actually appeared on the boat, I bricked it.
When Cloud went a bit doolally, too; when he was climbing around on the ceilings and walls like some kind of zombie, that creeped me out too, in the same way that Rinoa went all crazy/possessed in space. To see a character that used to be normal, that you feel like you almost know, go all weird and demonic like that, really unnerved me.
However those times didn't creep me out anywhere near as much as when in 7, Sephiroth succeeded in casting Meteor, and when Lunatic Pandora was unleashed in FF8. They both had similar effects aesthetically - the skies changed, all foreboding and sinister. This really had an effect on me and I really don't know why, I just paniced, like the meteor would actually fall if I didn't stop it. The 'time limit' that was imposed on the characters in-game, I felt imposed on myself. I guess that's the power of a decent engrossing story, more than actual horror elements.