Good horror anime series.

Boogiepop Phantom

Some classic ones are
3x3 Eyes,
Violence Jack,
Devilman,
Devil Lady,
Dark Myth

I thought I would do search in google as well and it came up with this wikipedia link.

http://en.wikipedia.org/wiki/List_of_horror_anime

Boku no Pico

Berserk manga is graphic enough to be considered horror but I personally haven't watched the anime so don't know if they toned down the graphical scenes.

Been a long time since I watched it, but I thing Genocyber would also qualify.

shiki

Deadman Wonderland

Hell Teacher Nūbē

Junji Ito's Gyo

yami shibai

学校の幽霊

怪 ～ayakashi～

Cod black ops 2

Sailor Moon.

Higurashi, Death Note, Mirai Nikki (last 2 are thrillers)

Angel Sanctuary.

I still have nightmares about the time i watched the first episode.

Ichi the killer.

Not really HORROR, but it's in the horror section of MAL, so Akira is one of the best Anime movies out there, it's got a complex story, a lot of action, and near the end there's a good chance it could scare the piss out of you. Also I've heard Hellsing Ultimate is incredible, and if you're in for a laugh at how this kind of stuff can be done COMPLETELY wrong watch Mars of Destruction, it's short and on youtube, one of the funniest things I've seen in a while.