Check out the HDC official list...
http://www.horror.com/forum/showthread.php?t=58323
Nothing recently has really grabbed me, although I hear The Last of Us is intense (haven't grabbed it yet for some reason) but I can say I loved Deadly Premonition... and you probably won't. Seriously, it's a very polarizing game and when people ask me what it's like I usually tell them that it's the closest thing they'll ever see to a Twin Peaks game. The Director's Cut on the PS3 is the best version.