I don't play a lot of modern horror, but I've picked up quite a few pixel-horror and RPG-Maker style horror games from Steam that did pretty dang good at creepin' me out.
Doki Doki Literature Club, The Crooked Man, Misao, and Mad Father are good. I actually haven't even completed The Crooked Man because I got killed in the hotel on the second encounter and was too unnerved to resume. I also have The Sand Man and The Boogie Man that I haven't played. Faith/Faith 2 both effectively creeped me out but I've only watched the Scary Game Squad play those. Also the Chzo Mythos games were REALLY creepy, and again I only watched a playthrough of each of those games by Lucahjin, but they were still creepy af.