Good horror games on steam?

penumbra series.

Bad Rats, the game is a real horror.

Call of Cthulhu: Dark Corners of the Earth , one of the best :)

Call of Cthulhu, Lone Survivor, Home, Scratches

Cry of Fear.

blind of isak or something like this

eversion?

Try these

Alan Wake
FEAR series
Dead Space series

They might not have you gibbering in fear, but all are quality games. Just wish my favourites weren't console exclusives, or I'd list them here.

penumbra, amnesia, fear, dead space, cry of fear

Anna (maybe)

Blair Witch, System Shock, Condemned:Origins (not exactly horror)

Scratches: Director's Cut - really atmospheric game

Angry Birds

Penumbra series
Amnesia - Dark Descent
F.E.A.R. series
System Shock
Dead Space 1+2
Alan Wake + American Nightmare
Nikopol
Jericho
Call of Cthulhu: Dark Corners of the Earth
Cry Of Fear (this one's free)

Not all of them are scary in the same way of course but all of them give you that anxious feeling you're looking for :D.

Oh yeah, here's my little bonus, no Steam unfortunately: The Suffering - Prison Is Hell + The Suffering - Ties That Bind. The first one's free on Softpedia with ad support. Second one is hard to find.

Justin Bieber : BABY The Game
xD

Suspended Steam Account is a pretty scary one. That's what I've heard.

Play Dota 2 with real noobs and you'll see real horror..
Sorry but I can't really say more than cuz the only one I know is Amnesia..

Cryostasis

Lone Survivor, Home, and Eversion. Anodyne has a large level of psychological horror as well.

eversion was very disturbing, at least for me, I think I have a phobia of decay or something like that..

WarZ is horr ... ible

Cold Fear might be worth looking at. I've heard it can be enjoyable, though the review scores aren't the greatest.

Anna Extended Edition, got it during a sale a couple weeks ago, very dark and scary adventure game, almost at the same level of Amnesia/Penumbra, but search first if you'll like it because it has heavy puzzles, you almost need to play it with a walkthrough at your side.