If you want horror games just on Gog Eh the selection here is quite small but I can say Silent Hill 4 is good for the price,story and atmosphere..
Granted I mention that one purely for I have yet to get into many actual horror games on my list I own that's on Gog at this time that is
Depending on one's definition of what equals a horror game though as in a cartoony sense given the art style the binding of Issac '' might fall into horror in a way and if price matters the base game
here is good but I would advise seeing as it one of those games that have the ''DLC for DLC'' get it and the DLC when on sale
If you want a punishing in a sense but is in various ways a horror game then Darkest Dungeon
I would help more but again outside of a few horror games currently on here I own currently the majority I would truly class as some form of horror even if just visually if nothing else.. just have yet to get to the others I got at this time