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I don't think there's a specific "non-gory" genre, but there are scores of horror movies that are not gory at all. The Changeling, as newb suggested is an awesome Haunted House movie without a single trace of gore.
If you want a more recent movie that is extremely psychological, I suggest you try Frailty, directed by Bill Paxton and staring Paxton and Matthew McConaughey.
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