Ok a few games for you to try out. and some reasons.
Bioshock:
Not realy supposed to be a horror game, and some of it is more comical like leftfor dead, but it still does a great job of getting the hart pumping.
Stalker:
Mainly in this game you are fighting humans, but occasionaly you get some real nastys that you realy dont exspect and it can make your skin crawl. the added fuzzyness, and serpia style gameplay based in a nuclear wasteland adds to the atmosfear.
Indigo Prophecy/Fharenheit:
this game is awsome, yes the graphics will be a little dated, and its not realy a FPS at all. it more of a cross between shenmue and simon says. But alas if its a hart pounding scare facter you want this is the game for you. it was named Indigo Prophecy in the US and Fharenheit in the UK. awsome game even if it is not an FPS.
Fear 1,2 and 3:
All great games. and some realy scarey bits, but unfortunatly after a wile the scarefactor disapears and its just a normal shooter, with bullet time.
Painkilla:
some good screy bits but it tends to lean on the gorey side more than the horror side but check it out anyway.
Clive barkers jericho:
proper gorey game as you would expect from the maker of hellraiser. the game has some cool gameplay, and some stunning graphics even for its day. preety horror classic in places and a pretty cool game if what short.
Condemed 2:
again not so much of a fps. the gameplay is kinda on the same lines as Manhunt 2. its a cool game though and worth a shout.
Deadspace 1 and 2:
not FPS games at all, they are 3rd person shooters. but if its scarey you want deadspace has it, number 2has some proper freaky moments. and sometimes you want to turn it off untill your hart beat comes back down to a safe level.
Siren blood curse:
Its a 3rd person game. and npt realy a shooter either, but if you want scarey then look no further, this games is evil.
Silent hill 5 homecoming:
A great game for frieghts, again a 3rd person shooter/puzzle game their is a trend with horror games and 3rd person games as you can probably guess. This silent hill is great and much better than 3 or 4. takes you back to the horror of silent hill. and gives ya a proper heart attack at some points.
Hope some of these help. sorry i couldnt think of anymore actual FPS games, but if its horror you like then 3rd person seems to be the best way.
Out of the bunch ide definatly take silent hill 5 and siren blood curse as the most scarey, followed by jericho for the most gorrey horror.