Obscure...yet also worthwhile. Important criteria, OP.
Well, I'll just list horror games that I enjoyed and genuinely thought were worthwhile games, as people's definition of obscure can vary and there may have been something you missed that's even somewhat popular. I'll also refrain from listing games that only have mild horror elements, or the occassional level that pops up with a horror theme.
So the criteria is moderate to heavy horror themes consistent enough throughout, and also has to range from worth playing to must-play.
Bold = Must-play. But I think they're all worth a shot.
Call of Cthulhu: Dark Corners of the Earth
System Shock 2
Parasite Eve 2
Martian Gothic (this one is definitely obscure, but also pretty cool)
The Suffering
Cold Fear
Resident Evil 1-4
Nightmare Creatures
Vampire the Masquerade: Bloodlines
Alien Trilogy (probably doesn't hold up that well)
Blood (even though the whole theme is horror-based it's not exactly horrific, but it's a really good game so fuck it)
Silent Hill (not played the later games in the series, which I hear are good. This is a must play if you want horror above all, but the gameplay is only average)
Dead Space games
Clive Barker's Undying
Manhunt
Clocktower (point and click adventure game, if you're after more involved gameplay look elsewhere)
Doom (console versions emphasised the horror elements a lot more without going banal Doom 3 boring)
For reference, two examples of omitted games that are good yet not consistently horrific enough would be STALKER and Arx Fatalis.
Now I'll go over the thread in search of some games I haven't played, looking for recommendations for myself.
Id really like to know what makes Silent Hill so epicTM, the gameplay is shit, clunky garbage. The progression, the same, fake doors, key, fake doors.
Shit could'nt spook me so idk what makes people love them so much, story? Story might be great for people that dont read....
Did you play the first? Gameplay is indeed mediocre but the horror is pretty damn insane, especially the alley scene at the start, or alternate dimension versions of the school or hospital. Don't think any fiction scared me more as a kid, and I never shied away from horror movies and games (and to a lesser extent books). That's still a child's judgement, but that game really had me on edge more than any other has ever managed.