There won't be much in the way of horror video games here. No zombies, no Lovecraft ripoffs, no "creepy" little girls. There are so many games that try too hard to be scary or sorrowful dreamlike, when really, that atmosphere is caused only as a byproduct. When you create a game, you have to want to make it something else. The creators of LSD: The Dream Emulator didn't set out to make a horror game, but the adventure they ended up with had a unique atmosphere that is far more intimately disturbing that any so-spooky blood-and-zombies!!!! jumpscarefest.
Unintentional fear, unsettling atmospheres. This thread is for games that are subtly uncomfortable to play.

A surfeit of connection between the creator's blighted mind and your own. Something totally goofy and not serious, and yet...

Or not scary, but sad in some undefined way. Empathy felt for some strange thing's plight.
Maybe it wouldn't be so distressing if I could understand the language.

Happiness that isn't quite heartfelt. Foreboding to the point of choking.

A sympathy given over to quiet fears. Maybe it's silly to be scared by things that aren't scary, but I think it's important, too.
There's also some horror games, like Pathologic or Silent Hill 2, that possess some of the same not-horror-but-still-disturbing moments, but are mainstream enough that we've all got knowledge of them already. I'd love to chat about them if you can think of any more, but my main concern right now is relatively obscure games.