They may be a little harder to find, but you could try to get Rule of Rose on Playstation 2(had to order from amazon as I never saw it in the wild ... very creative and unusual game).
Another harder one to track down which is also on Playstation 2, the console with the most horror games as it seems, is Echo Night: Beyond (also from amazon ... a ghost story in space with no weapons and gameplay that requires the player to run and avoid ghosts ... there is fear and tension as well as a sense of loneliness in the game's atmosphere. Instead of a jump out scare gore fest it is a creepy and unsettling affair. In other words, it is survival horror and the opposite of the far inferior Dead Space games that have basically the same setting but are action games with minor horror elements and virtually no scares.
