Penumbra series is amazing, 1 and 2 are creepy as shit. There's an add on to 2, but there are no monsters so it's hit or miss with the puzzles. The collector pack on steam is only 20 bucks
Lone Survivor is scary too, if you can ignore the pixelated-ness. I love Lone Survivor, it's very well designed and definitely a good horror game.
As for Dead Space... I think they nailed the atmosphere. Some parts are scary, but it is (intentionally) action oriented, and that's not a bad thing. I couldn't tell if you had already played it or not, so I just wanted to point out, it does have it's moments in terms of horror.
If you own Half-Life 2, then the mod "Nightmare House 2" is great. You only need the second one, because the original one was just a map and it wasn't well made. 2 contains the original map, but remade, so it's a win-win, plus it's free.
The "Cry of Fear" mod for Half-Life 1 also looked scary but I've never played it. I've watched an LP of it though, and it scared me just watching it, so try that
If you are looking for more free games I'd suggest the SCP series. They're short, but ridiculously scary. Play them with all the lights off and noise-canceling headphones, and you're going to potentionally piss yourself. There have been multiple SCPs so just google it.