My vote goes for Tomb Raider II and the floating islands levels. The game is a relativity normal globe trotting affair for Lara until she gets transported into the fucking shadow realm here. This level gave me major scares as a kid since you're traversing a giant void being chased by animated statue warriors out to kill you.
Metro games are a good mix of action with a dose of horror/existential dread
Been ages since I played Metro, I remember liking the first one.
Metro last light is even better. Highly recommend giving it a whirl, the story is much more engaging.