One I enjoyed, it's more survival horror:

https://store.steampowered.com/app/214490/Alien_Isolation/

Violent Horror Stories 2 is an anthology of short horror games, some better than others, but worth checking out: https://store.steampowered.com/app/3636960/Violent_Horror_Stories_2/

Deadcam is very fun if you're into tense moments and completing an objective while navigating around a possessed entity: https://store.steampowered.com/app/3865340/Deadcam/

That Which Gave Chase is simple, short, and unsettling:
https://store.steampowered.com/app/2431100/That_Which_Gave_Chase/

Puppet Combo does some of the best PSX style indie horror around, Stay Out of the House is considered one of their best works: https://store.steampowered.com/app/896520/Stay_Out_of_the_House/

No I'm not a Human is one of my favorite horror games this year. Multiple endings, tense, narrative driven, choices matter: https://store.steampowered.com/app/3180070/No_Im_not_a_Human/

Resident Evil 4 (2005), Outlast, Silent Hill 1, Dino Crisis 1, Hellnight, Clock Tower, Deep Fear, Parasite Eve 1

Most horror games are just adventure games with jump scares. I find both jump scares and adventure games boring, so I can't really offer any suggestions in that style. But:
https://store.steampowered.com/app/1989270/
https://store.steampowered.com/app/1609230/
These are visual novel/RPG hybrids that focus on telling a story. If you're looking for jump scares and minigames, they're probably not what you want, though.

Dead rising og, dead rising 2 and 3...dead island series... prey

Karma, Luto, Incantation, Bridge Curse 1 & 2

Obscure 1 and 2 are good and aren't as well known. Cold Fear is a RE4 clone that is quite decent. Silent Hill 1-3 are a must if you like the genre.

Outlast

Dead Space series, Prey( though its only scary when you dont have the powers)

https://store.steampowered.com/app/3373660/Look_Outside/

silent hill series, resident evil series, clocktower series, rule of rose, haunting ground, phantasmagoria 1+2 (old fmv games), dead rising (not the remake)

It's not out yet OP, maybe one to keep an eye on.

https://store.steampowered.com/app/1551980/Clive_Barkers_Hellraiser_Revival/