Eternal Darkness on the Game Cube was excellent

If you have a PSX, Koudelka is interesting. It got pretty mediocre reviews, but I liked it--strong atmosphere. It's also the first game in the Shadow Hearts series that Stooner mentioned, although you don't have to play it to appreciate the Shadow Hearts games.

(I would agree with Stooner that Shadow Hearts 1 probably qualifies as a horror RPG, and Koudelka definitely does. As for the rest of the series ... not so much)

I would recommend the Thief series of games, which are FPS sneaking games. You have to fear and avoid enemies of both the natural and supernatural persuasions, and some places are rather creepy. The System Shock games are also noteworthy, and are certainly more RPGish in the case of SS2.

The Secret World can now be played for just the price of the box/download (it uses something like the BioWare TOR model, where the optional subscription gets you "extra stuff"). Sit through the long character intro, turn off chat, and play it as a single-player game. Soft group on the later content if it gets difficult. There's no open world PvP so you can avoid that aspect of MMOs as well.

On the positive side, TSW has a pretty cool atmosphere and samples a lot of the horror genre, from the zombie apocalypse to Cthulhu to Native American horror to mummies to werewolves to vampires. It does a great job providing quests that fit the setting and content. On the downside, role-playing is pretty much limited to your character-building choices ... as one might expect with an MMO, you wind up being dragged through a static story that is not affected by anything other than the faction choice (an MMO convenience/contrivance) you are forced to make at the start.

Bloodlines is great until about 80% of the way through when it becomes a collection of tedious boss fights where you suddenly discover that you shouldn't have spent most of the game building up stealth skills because they're now utterly worthless.

It's like they got that far and someone said 'hey, we have to release tomorrow' so they just threw in some boss fights to finish it.

The first Legacy of Kain is a good Zelda-ish horror rpg. In more recent years, there was an action-ish rpg based on the Kult universe (Kult is a popular pen and paper horror game) that was released in 2004 or 2005. Also, Vampire: The Masquerade has two games, one of which is available here (Redemption) and Bloodlines, considered one of the best horror rpgs ever, which is going on sale more and more frequently these days.

Which reminds me, when I get some money together I need to track down a copy of that game... (The Kult one)

There really aren't that many horror rpg's on the pc, so as has been mentioned, you may need to get console-ized to find more.

EDIT: The game I am referring to based on the Kult universe is called Kult: Heretic Kingdoms.

There should be more horror RPG's.

Shadow Hearts 1 and 2. Playstation 2. GET THEM!

But if you use your social & stealth skills during the course of the game you will get more than enough experience to make up for the ones you spent on them.

I personally would love to see a Victorian-era Horror FPS/RPG. That would be the shit.

I haven't played myself but there's Waxworks, some kind of RPG/Adventure game.

http://www.gog.com/gamecard/waxworks

Dead Island. It's very Borderlands-style.

Don't know if it exactly counts as a horror game, but I'm going to suggest The Binding of Issac. After looking at the previews for it on the Humble Indie Bundle 7 and reading about it on several other websites, the game seems pretty creepy to me at least.

Is that a horror RPG? I never heard of it before, but incidentally I found it in a bargain bin last year and started playing it for a few hours. It seemed nice enough and I've been meaning to get back into it,