I don't really play any true horror games, although I have a few wish-listed on Steam just to keep an eye on. It's not that I don't like them, it's just that I haven't found one recently that interested me enough to purchase or spend time with.
In the past I've played the original Fear, but that's really a shooter-type game with some shock scares. The last horror game I played would probably be back in the age of FMV games. Phantasmagoria, Gabriel Knight the Beast Within come to mind. There was also Realms of the Haunting, but it was more of a hybrid type of game than true horror. I don't know that any of those would be "true" horror games, but they're as close as I've gotten.