I find games where you lose money/equipment to be far scarier than any horror game I've ever played. There can not (to me) be horror without risk. Subnautica, Tarkov, X Souls, sometimes roguelikes even (Cata comes to mind) are all good examples.
Now imagine a game like that combined with psychological horror. I think darkwood is the only game to my knowledge that does this, but the atmosphere is so dark (and the days so annoyingly short) that I find myself with no desire to play it despite its obvious high quality.
Are there any other games that do this I'm not aware of?