No, ALL of mine had a lot of elements of horror. Some of yours do, a couple were mentioned, and a few are just confusing. Donkey kong? Mario World?
Earthworm Jim has a couple elements but I didn't list that because it really didn thave enough, just an evil cat and some cool music when you fought him. Rock N' Roll Racing I almost listed because of the characters. Obviously D&D games include monsters of all kinds. Bomberman and Sonic are just silly...
Oh well, just my opinion.

I wasn't specifically referring to your list, actually.
I saw that there were some non-horror titles going on, so I added as such.

Donkey Kong = Well...was King Kong not considered horror at some point? Giant monstrous ape and all? DK had the same, and a bunch of at least 20+ types of different "monsters" of the creepycrawly variety. I think the ape alone gets this one.
I didn't mention Mario World, I mentioned Marioland 2, which has ghosts, and a haunted castle level towards the end with the first appearance of Wario, which was something like a mutated goblin...
Bomberman had ghosts, and suicide bombers, it was pretty tense.
Sonic - tell me you didn't feel an sense of impending doom in the underwater and lava levels...ok, maybe it wasn't "horror", but it had the same effect at times IMO.

Earthworm Jim I agree on. The Hell Level, the freaky bosses...etc.

But, I'm willing to sort out my list a LITTLE.

Shining Force
Bomberman World
Operation Bodycount
Donkey Kong (Gameboy version)
D&D: Shadows over Mystaria
Quest for Glory series
Ghostbusters on Genesis
Time Killers
Broken Sword (One day I'd like to play them all)
Shadow of the Beast
MarioLand 2: 6 Golden Coins
Wonderboy in Monsterland
Dino Crisis 2
Earthworm Jim
Cadillaics & Dinosaurs
Crypt Killers
B.A.A.L
Soleil - Cool eerie feel, good atmo and music.

How 'bout "earthbound", mutant alien invasion storyline, definately horror-ish, even though full of comedy.

Space Gun
Demons Crest

Earthbound rules, enough said there.

Phantasmagoria, can't forget that.

I guess whether it's "horror" or not can be debated, that's what the list is for right? :)

ok who's spending half their day on ign.com haha ;)

I haven't looked up a single thing myself, I've played all these.

7th Guest?
And...uh....one I remember but not by name, it was on genesis, you wake up with some doctors talking, and you're in a morgue drawer, supposedly "dead".
Game starts from there. Action/rpg. Seemed a little twisted and pretty cool.

I believe you, because I'm bad like that too. I used to collect old games and systems but recently sold them all. I had around 10 nes systems and 300 nes games alone. decided to give it up and get more movies. I figured I'd use the movies more than the games but since I've been buying I've gotten around 150 movies and not opened the first one. but still they display nicely until I do decide to watch them

Played every game listed....
I guess it helped to be exposed to videogames at 3 years old because my mom and dad were into them. :)

I don't think I've seen Sacrifice mentioned yet.

Nightmare 3D
http://www.freewebs.com/pandamonium/n3d.gif

Some of the games I remember playing that I enjoyed:

Monster In My Pocket
Monster Party
Demons Crest
Koudelka
Shadow Hearts
Fatal Frame II
Blood Omen 2

Not sure if those were mentioned yet, but I wanted to type them down before I forgot.