Personally, the American approach to horror doesn't entertain me. I get TERRIFIED by it, can't play more than 45 minutes of Dead Space without my shoulders hurting from the stress, but it doesn't leave me with a lasting impression and generally just kinda drains me.
Eastern European horror, on the other hand, now that's where my interests thrive. The existential questioning that comes from games like S.T.A.L.K.E.R or (my personal favorite) Metro: 2033, that unnerving feeling that no matter how prepared I am I can go from hunter to hunted in an instant. Jump scares and big, planned "scary" moments fall away to let the fear of failure subtly take over your every move. Feeling isolated certainly instills a certain sense of dread, but I find that for me, having people relying on me to not fail, to have my failures effect them, works better.