Oh, I've got many. It's why I have to learn about people's personal taste before I can all-out recommend some games. To name a few...
Saya no Uta
A wonderful horror story in visual novel form that is equal parts shiver-inducing and thought-provoking. But the game is relatively short for a visual novel with only like one or two choices the whole game, visual novels themselves are an acquired taste, and the game has some really out of the blue sex scenes and some really disturbing content, making it a hard to recommend title for a few reasons. But for those that find the appeal, there is a legitimately good horror and love story here.
Fragile Dreams: Farewell Ruins of the Moon
Fantastic art direction, a unique story about loneliness, an interesting setting, beautiful music, likable characters... Squandered by gameplay choices that you sometimes serious need to sludge through to make it through the game, the worst part being a few mini-game type scenarios they throw at you. But there really is no other game like it.
(in a similar vein...)
Rule of Rose
An absolutely wonderful story unlike anything you'll find in video games to this day, with great symbolism, thematics games hardly ever explore nor explore as well as RoR does, a unique and beautiful soundtrack, creepy and unnerving bits, it's truly a masterpiece... Except the gameplay is rather meh, with some annoying segments, and doesn't live up to everything else. Basically, the game nails everything but the gameplay, and is kind of repetitive in that regard.
Silent Hill Downpour
I always felt this game was given an unjust hand in the general opinion of the title. It is hardly a perfect game, the controls are a bit odd (combat stands out the most for this, but then the imperfect combat system I actually think fits the game), the game has technical problems from it freezing for 1-2 seconds when it loads a new area and some other quibbles, the monster design isn't up to snuff, and the final area is definitely the weakest of the bunch, and it doesn't really feel like a Silent Hill game... But I found it to be highly enjoyable in a number of areas and the truest 'old-school' horror game to release last generation (something critics as a while seem to have distanced themselves from). Has some fun puzzles of moderate difficulty (and puzzle difficulty options), the exploration in this game in my opinion is ace (exploring the town of Silent Hill and the overworld segments of this game are the best in the series in my opinion, there's a lot of intrigue and hidden crannies and quests to find, and the town itself feels like it has a lot of character), speaking of which the side-quests and how they're handled is interesting and some of the quests are stand-out moments in the game (you sort of wander into side-quests while you explore the town, like if you decide to investigate an abandoned theater, or find a weird item on the road, or find a secret accessway to a basement in a creepy house, etc.). Also some of the moments in the game are well-done and handled (I'm fond of some of the moments and hidden scenes in the Mines, Radio/Clock Tower, and Orphanage especially), and thought the characters were decent.
Forbidden Siren
The first Siren game. It is a seriously at times creepy experience, a real challenge... But the game is a tough overall recommend partially since this game is sometimes so frustratingly difficult, so goddamn long. It has some things it asks of the player that can sometimes be downright bullshit, some ways to get past certain areas are overly obtuse and unclear, and this is seriously up there as one of the longest horror games ever. Plus some things like having to replay levels but do something different to unlock new levels. But behind all of this there is a truly creepy and terrifying game, and some unique gameplay systems that may appeal to some people quite a bit, and it is a game with its scary moments and creepiness, some fantastic atmosphere, and the Shibito are interesting enemies. Basically, it's a frustrating and long game, but might be an experience worth undertaking.
Illbleed
Dreamcast quirky horror game that is hilarious and dumb, and a unique game with some stand-out moments, but some things you have to slug through to complete it. It's a case of being a straight-up B-game, and it succeeds in being fun entertainment for fans of B-horror while also dumb and hilarious in its own right... It's like American B-Horror seen through the lens of a quirky Japanese developer. But it does have al earning curve and some drudgery to go through it.
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There are a LOT more games I could name, but a small selection. I adore these games, but they're tough regular recommends because of flaws. Basically, amazing experiences that do some things beautifully, but fail on other parts.