Not a huge horror fan. That said, there are a few horror themed games which I actually like...
Nintendo:
Dr. Jekyll and Mr. Hyde
Frankenstein - The Monster Returns
Nightmare on Elm Street
Monster Party
Uninvited
Phantom Fighter
Wizards and Warriors (I don't know if it counts, but the game features a lot of spoopy enemies)
Close Runner-ups:
Maniac Mansion (More comedy than horror, really)
Friday the 13th (Who likes this garbage?!)
Chiller (Also hate it)
Dr. Chaos (Apparently also horror, I never realized)
Zombie Nation (Finally! A GOOD game!)
Monster in my Pocket
Ghoul School
Castlevania (Apparently they're horror themed, no one told me)
Werewolf - the Last Warrior
Goonies is kinda spooky I guess
Famicom:
Gegege no Kitaro 1&2
Getsu Fuuma Den
Kiki Kaikai - Dotou Hen
Majou Den II
Magic Candle (idk if spoopy, but it has some amazing enemy artwork and some of those are kinda spoopy)
SD Splatterhouse
Seirei Gari
Sweet Home
Youkai Club
Zombie Hunter
NES/Famicom Hacks:
Evil Dead (Zelda 2 hack)
Kirby's Halloween Adventure
Zelda 2 - Monster Festival