While not a horror game, Thief: The Dark Project has some pretty scary parts. There's zombies in the game, as well as these totally freaky ghoul things that have rattly chains and holyshiti'mgettingspookedjustthinkingaboutthem; and then there are lots of weird creatures that are sure to unsettle. If you like first-person stealth games with boatloads of atmosphere and really fun, creative gameplay, I recommend it. Don't let negative opinions toward the third game, Deadly Shadows, affect your decision to play the first two. Although despite being rather poor in comparison, I still really liked the third game, and it's got a really freaky ghost stage if you can manage to get that far in the game.
(And if you do play the first game, play Thief Gold over the original. Cool added stuff, except the opening cinematic's THIEF GOLD logo looks really crappy; wish they had kept the original title for the opening.)