You've reminded my of just how few horror games I've played over the years.
Esoterrorist from Pelgrane Press- This is a lot like Delta Green if Delta Green were actually good guys. You're members of an organization whose tasked with stopping and keeping secret incursions of the supernatural from the Outer Dark. I remember one game we played where we had to wait for the supernatural entity to kill three more people before we could stop it. I mean we knew the murders were coming, and there was literally nothing that could be done until they happened.
Fear Itself from Pelgrane Press - This has the same setting as Esoterrorist, but your characters are normal people isntead of highly trained agents. This is a great system for running more intimate horror type games like teenagers spending time at the Camp Crystal Lake or something.
Beyond the Supernatural from Palladium Games - It's been more than thirty years since I've actually played it, but I remember having a lot of fun with it back in the day. It was first released in the 80s, and it has a very 1970s In Search Of.... vibe to it. And if you don't remember In Search Of... on television, man, I feel old.
Nightlife by Stellar Games - This little gem was released very shortly before Vampire the Masquerade was published. In Nightlife, your character could be a vampire, demon, a ghost, a Frankenstein like monster, an Inuit (Native American spirit and, oh boy, that name wouldn't fly today), or a werewolf. You prey on humans, live in secret in New York, dress real cool, listen to awesome music, and you can even join factions. Again, another game where it's been 30 years since I've played it.
Chill from Mayfair Games - I don't remember anything about this game, other than you had to find a monster's particular weakness in order to defeat it. And someo of them were crazy. There was one that you had play a song on a flute created from the wood of a particular type of tree that was X years old.