obviously it isn't really all that 'horror' but spec ops: the line makes use of a battle torn & disaster-ridden dubai environment for some good moments
(the graffiti they've got in the game is pretty good too), along with some mindforgetery the later you get into the game, but i wouldn't really consider it horror myself. the story does have it's flaws at moments, but i dunno, i think it'd be worth a look if you think you could get into that kind of stuff. it relies a bit more on the environment/story, some shock and i suppose psychological horror more than jumpscares or monsters [spoiler]
which really is what you and your team were the whole time[/spoiler]
the very late game chapters can get a little bit silly but don't try to interpret them too deeply and you should be fine