Alan Wake, as well as a good horror game it's also has a good detective story.

Little Nightmares was great.

Succubus is my recommendation here on gog it differs from most of the other offerings suggested here as are not trying to survive to horror, you are the horror!

As someone who doesn't usually play horror games, I highly recommend Gloomwood. Scary without relying on jumpscares, enough action and combat to keep it from getting ponderous, interesting story.

Daily Chthonicle: Editor's Edition

I absolutely recommend SOMA. Parts of this game stuck with me for months.

I recommend the Scratches trilogy. Great creepy games that are the precursor to the Penumbra games, which in turn spawned the Amnesia games.

Gather round! Gather Round and hear a spine-chilling tale of true horror.

It all started in late 2005, when a young man entered an independent game retailer browsing for something to fulfill his longing for horror experiences. Then he noticed it. In a green case and the cover sporting a mishapen man clearly somehow tainted and the words - Call of Cthulhu: Dark Corners of the Earth. One purchase later and that very evening, with the lights off, the experience began. A twisted tale of investigation, escapes, gunfights and monsters, dark cults and hidden places, all throughout a seeping dread and a fear of the oldest gods from the deepest seas and beyond the stars. Satisfied the yound man completed it and moved on to other things.

Then, many years later, the experience called back to him. "Experience our journey again..." it said, "...only this time join us on PC." The temptation was too much and compelled by a heavy discount on Steam he purchased it once more, only this time it was far more horrific. As the experience began and the atmosphere sank in, it happened. something more horrific than anything the game had provided before...

The game died.

Out to desktop, no more horror for him. Rebooting the game, the young man tried again. Reaching the same point something strange happened.

The game died...again...in the same spot.

Desperate to escape this horrible trap, the young man endured and soon discovered a mod that someone had made promising to escape this trap. Quickly patching the mod in the young man tried again and this time the experience continued. It was a blessed relief until no more than an hour later, another spot, another crash. Only this time there was nothing that could be done. No more patches, no more mods, forever crashing in the same place. The experience had locked itself in a cage never to be opened...

...that was until on a different retailer it sat, with the reviews praising it's unlocked nature. The experience would be free of the crashing curse, ready to be experienced once more. One purchase later the young man discovered it was true! The experience was unhindered and he was able to bask in it's cthulian nature once more. Finally satisfied it could be experienced in it's complete and unhindered nature, he now recommends it to you, but only when purchased from GOG.com.

I recommand SIREN(2003) & SIREN2(2006).

Though this series can only be played on PS2, SIREN is still one of the best Horror Game ever been made.

A darken, despair, yet, fascinating story built on multiple perspective.
Players can steal the vision of enemies for advantage.
Both of features are still enlightentment today.

S.T.A.L.K.E.R.: Shadow of Chernobyl

Is a MasterClass example within the atmospheric, survival-horror, open-world FPS genre. But to categorize the game with such simple terms does not do it true justice. The phrase “highly immersive experience” comes to mind. Also, have a look at the stellar work that has been released from this game’s passionate modding community. That is all.

I recommend LIMBO.

If you're looking for a beautiful atmospheric game with great art design and perfect game mechanic, you can do no better than LIMBO.

I don't even particularly like platformers, and yet I completely fell in love with this game. It took my breath away, and stayed with me long after I had completed it.

Definitely Dead Space. Scared me to no end.

i would say Clive Barker's Undying

it gave me lots of chills playing as kid on my speakers, great story, atmosphere, i played on Voodoo 2 12 Mb K6-2 350(i even overclock it a bit) it did not run excellent but that slow motion(because of frame rate) was making experience unique, also cut scene o man, they don‚t make game as they used to do.

Just play the Anoat level of Dark Forces when you run out of batteries and low on ammunition. The combination of both makes Dianogas happy.
Damn!

LIMBO!!!
Amazing athomsphere for a golden indie!!