As I always do in discussions about horror games, I strongly recommend Condemned: Crimininal Origins. Still the scariest game I’ve ever played.
I have had it installed for quite a while and hope to still get to it this year. All I have heard about it suggests it will be a memorable experience
Also: I strongly recommend Cryostasis, though not necessarily as a horror game. In my opinion it has one of the most well executed narratives I’ve seen so far. Very good use of metaphors. The way its story is done reminds me of A Machine for Pigs.
Oh and I believe Knock-Knock has not been mentioned. Definitely recommended, but it is even less of a horror game than Cryostasis. It is creepy, but it won’t scare anyone out of their minds. Great atmosphere though.