Might want to try Higurashi no Naku Koro ni as well as it’s sequal, Higurashi no Naku Koro ni Kai. While they aren’t the nicest looking anime’s in the world (that really is putting it nicely, I’m pretty sure the animation budget was low), it’s story is grade A, especially when you get to the second season, which is where the story REALLY shines, and things begin to add up. Seriously some ****ed up stuff. Sadly to the best of my knowledge the manga has only been licensed recently (under the title Higurashi When They Cry), so you’ll won’t find it in store for a while.

Also, while not really horror, give Serial Experiment Lain a try, mind **** at it’s best.