You would need to define horror and give us examples of what you've seen to date that fall under the genre (as defoned by you.)

I suggest anime like how I build computers for other people: I do a brief interview and gauge the person's wants/need before spouting out stuff. ^_^

Anyway, as an advance: Denpa Teki Na Shoujo is pretty cool if you haven't watched it yet. Only 2 eps (out of a supposed 3 ep OAV series) produced and released so far. Based on a set of novels. Psychological Thriller. This was my mindfuck series to balance out the ecchi/moe/SoL binge I had over the past year.