Not so much horror but very psychological and dark: Overclocked: A History of Violence. A very well thought, well told story that definetely left a mark on me. (in other words I found it completely awesomely kick ass) Though the gameplay or lack of it may put you off. Not to be allarmed though there is still a lot of gameplay in it but it's not exactely a standard type if AG.
Also I completely second the SH: The Awakened option but even better imo: SH vs Jack the Ripper very dark with some psychological overtones and it left a very deep mark on me. I've seen, read and played dozens of Ripper stories and this is definitely one of the best I've come across with a very rewarding and believable plot. (in other words the story rocks brutally hard)
Edit: I'm kinda behind on my Rippers to play list so not exaxtly dozens but you catch my drift.
Had to be honest