I'm meh on horror games. NO horror game can ever hope to match the horror that is Giygas at the end of Earthbound. But I don't think Earthbound qualifies as a horror game...which makes Giygas all the better as you don't really expect the last boss to be what it is.
So I guess if I have to name ONE...well, I always found the Elder Scrolls II: Daggerfall to have KIND of a medievalish horror theme about it. Maybe it's the moaning voice of a dead guy screaming 'VENGEAAAAANCE!' in the city of Daggerfall constantly during the night...and the many other ghouls, ghosts, vampires, wraiths, skeletons, werewolves (win!) and other horror monstrosities running around the world.