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Equus

The Children's Hour

The Devils

You can research Grand Guignol, which was a French theatre movement that specialized in gruesome effects. Sweeney Todd was first done as a Grand Guignol piece, and there were some adaptations of Frankenstein. Here's a good resource:

http://www.grandguignol.com/

Wait Until Dark

There's a stage musical adaptation of Plan 9 From Outer Space

Hamlet

MacBeth

The Metamorphosis

In the grand tradition of the theatre there are hundreds, thousands of plays that could be considered to have horrific elements. Those are just a few I can think of off the top of my head.

there are a couple original plays here with horror in them, if you care to check them out:

http://www.NeverEndingWonder.com/halloween.htm