Metroid Prime and Hollow Knight come to mind. If I have to pick just one, the latter probably.
I can get very immersed in Metroidvanias and these in particular I felt most oppressed by their atmosphere. Some of the late game areas in both games had me really tense going into them, and I'm not sure I'm ever quite gonna get over the Abyss in Hollow Knight, no matter how many times I play the game that place still gives me the creeps.
But yeah, I think you can tell I don't play horror games.