5) Yume Nikki - Perchance to Dream of Really Weird Things
In the style of Super NES-era RPGs like Earthbound or Chrono Trigger, Yume Nikki places you inside the dreams of a young woman, Madotsuki, who apparently has a lot of issues. There's no real plot or even any direction to it. You are, once again, exploring things, plus there are 20 some odd items you can pick up (you may be noticing yet another pattern). There is an "ending" if you get them all, but it doesn't really make a huge difference.
Basically, you just explore Madotsuki's dreams and that's it. It may sound dull, but the game contains a surreal quality that's great at capturing the feel of a fever dream, or maybe a too-much-pizza dream. It gets pretty creepy. For example, you can come across this phallic-looking guy, who just stares at you and rubs that rail. What's that supposed to mean?
6) Gyossait - God Damn It All
Gyossait is a horror platformer, which sounds weird but it works. The gameplay itself isn't creepy, like some of these other games, but the environments, sounds, and everything else are. And the story, if you can piece it together, is pretty insane as well. (Hint: It involves an omnipotent god who kills his wife in an argument, then kills himself to reunite with her. We think.)
You spend most of the game with only a shield to protect yourself against various weird things trying to kill you, but later on your head can get cut off and then you can use some sort of machine gun-like weapon. That is probably the weirdest sentence you've ever read, but that's honestly what happens. The game's bosses are especially impressive and epic, and hey, it's not another exploration/collection game.
7) Kraven Manor - The House That Evil Mannequins Built
Kraven Manor is a first-person puzzle game created by students at Southern Methodist University, which probably shouldn't really strike you as a place from which you can expect abject horror. In the game, you explore a spooky haunted house that can change its shape based on a scale model in the house's foyer. (Note: The original standalone game has been replaced by a demo for a soon-to-be-released remake of the game, but a simple Google search can turn up the old version.)
And no, that's not extremely scary on its own. What's scary about it is what it's haunted by: Weird, bronze mannequins that only move when you're not looking at them. The Internet loves the Weeping Angels from Doctor Who, and this game's primary antagonists are basically that. As soon as you're not shining a flashlight at them, you hear a furious squeaking sound coming up behind you, and upon turning around, you'll see the bastards right in your face and probably let out a screaming, barking sound that doesn't impress anyone. Least of all the faceless, knife-wielding spectral being who's been sneaking up on you this entire time.