Hombreman, I felt exactly the same way about Fatal Frame and to a certain extent, the original Ring movie.
Silent Hill (the first three games ONLY) are perfect examples of what a horror should be like. You have constant fog, which clouds (no pun intended) your vision so you can't see more than 3 feet ahead. In the absence of fog, you get darkness and a teensy chest flashlight to limit your view. The static in the radio that alerts you of the enemies, while you may think lessens the tension actually intensifies it, because you don't know how many there are and from where in the darkness/fog they would be coming from.
One of the effects I really liked about those games is that they take a place that people normally go to (hospitals, schools, malls, public restrooms) then twist them around so that everything looks like it's covered in rust. The transformation of the place you were in upped the sense of dread.
The monsters were also a high point, because like any good horrors out there, not much of them are actually shown (you may see that there are many 'fat' monsters, but other than looking fat, you don't know any other features) except maybe for the bosses.
Finally, a great horror for me should feature at least one instance of illogical progression. Like in Silent Hill 1. Upon first arriving in the hospital, you are given the elevator as the only means to explore the upper floors. So you go to the second floor, when you exit, you're greeted by a locked doubledoor. No problem, just go to the third floor first. When you arrive at the third floor, the same thing happened. You go back to the elevator. When you inspect the button panel, a new button appears so that you can explore the 4th floor, which isn't supposed to be there since the hospital only has three floors.
These kinds of mindfuckery are what endeared me to Silent Hill.