These are games that are straight-up sold as horror games.
Amnesia Collection - I find the mechanics fun, and I re-bought Dark Descent on PC so I could play custom stories, many of which are better than the core games (whose stories I tend to find weak).
Bioshock trilogy - Not sure why this is considered horror, its more sci-fi than anything. I've only played the first one so far, which I found okay but between this and System Shock 2 I'm starting to wonder if there's just something about Shock games that disagrees with me (though I liked the original System Shock on DOS).
Breathing Fear - This is a side-scrolling pixel horror game that often sells for a dollar. Unfortunately its kinda shit because of one major problem: your flashlight drains really fast and basically acts like a timer, so this is a game where your first few sessions will be spent just figuring out exactly where everything is so that you can speedrun the game to beat it, and I just don't care for that style. I want to be immersed and carefully explore all the nooks and crannies.
Disaster Report 4 - This is often listed as a horror game, which it kind of is and I do like that its exploring a different subject for this genre. I also own its predecessor Raw Danger on the PS2, but both are games I didn't get far in because at the time I was into something else and just not in the mood.
Dream - I bought this with the wrong expectation. The store said it was full of puzzles, so I thought it would be Anime Myst. Instead its a visual novel where between story chunks you have to do an Escape the Room session. Its not bad for what it is, just go in knowing what you're getting.
Dungeon Nightmares 1 & 2 Remastered - The best thing about the Switch collection is you still
press B to blow. These were two bucks and they're decent timewasters.
Earthworms - A point n click adventure on the Switch. I liked the hints of story but didn't get far because I ran into one of those "I know what the game expects me to do but I'm not sure how to do it in this game's interface" issues.
Eyes: the Horror Game was literally given away for free for awhile, which is all you need to know.
Five Nights at Freddy's 1-4 and Sister Location. Friend bought me a physical collection. The first four seem to actually play better on Switch than on PC. That said these feel more like old-school arcade games than like anything I would call horror and I don't think I'm interested in more of this style.
Never Again - Decent game where you play as a girl with asthma, however a lot of things become unintentionally hilarious--a doll-head-monster killing you while declaring "your parents don't love you!" and a monster I lovingly call "the rubber chicken witch" just make me double over in laughter. That said I did not hate my time with this game, but I never finished it because I reached a point where I didn't know what I was supposed to do.
Perception - This is an underdog. You play as a blind woman and there's a button to tap your cane which lights up the room around you (sorta looks like vector graphics). The monster is silly looking but the game itself is actually really fun and solid. There are oddities with the story but if you can get this game during a sale its highly worth playing.
Resident Evil games - I own a lot of these, just not on Switch. I actually used to like this series but started dropping off around RE4 and nothing has gotten me back into it since. This is pretty much the only "zombie" series I've ever cared about though.
Slender the Arrival - I don't care what anyone says, I love this game, even if it is short and Slendy has become kind of a laughingstock. Yes I am looking forward to that remaster. This is another case where I don't find the story that great but for some reason the game is fun to play.
Without Escape - Another dollar game. This one is a bit like a more traditional adventure game. Has multiple endings though they're usually glorified game overs. Get if cheap or not at all.
the
Yomawari games - I love these. So far I only played through the third one (the first two were spoiled for me by the Nitro Rad reviews) but damn, for once I got into both the story
and the mechanics. Also the first game in the series is one I love to prank people with, just hand the controller off to my pre-teen nephew and tell him to play the tutorial....