Dead Space, either one or two. The story is really neat to me, so I can put up with the horror to get to the story. Also sometimes I just watch it on youtube which puts a layer between me and the game.

Anthology of the Killer series is great.
Note, though, that it isn't really trying to scare you.

I don't know if it counts as horror, but Voices of the Void has its moments.

Alien Isolation is really good

I will always love classic survival horror the most: fixed camera angles, tank controls, gameplay mostly revolving around finding keys and puzzle solving, etc. Games like the pre-RE4 Resident Evils, Dino Crisis, Silent Hill 1-4, the Project Zero/Fatal Frame series.

But to mention a different kind of horror game that doesn't get talked about enough, Condemned: Criminal Origins