I used to play something called... I think it was simply called 'Nightmare' way back in the DOS/Windows 3.11 age (it was a compilation CD with all sorts of emulator games) so I suppose that was my first horror game (It always crashed after about 20 minutes so that was that).
Amnesia is the first one I'm really into, though. If only I can encourage myself to get past the prison part! All the posts here saying it's the scariest part of the game means that I can't even start it
Haven't even seen a monster in there so far but every time I try to play I walk a few steps in game and simply quit...