I'm looking for decent horror games for handheld / mobile systems (not Steam games, sorry guys)

I think Lux Pain could be considered somewhat of a horror game for DS. It has absolutely horrendous english localization, but I liked the atmosphere quite a bit.

Not sure but PSP has Parasite Eve 3 (birthday something). The first two were survival horror.

Also try Nanashi no Game. I haven't played it, but it's something I've been wanting to play. Of course, you might have to go through less legal means to get it, since it was a Japan only release and you need to fan patch it to play in English.

There's Silent Hill: Book of Memories for Vita. Not sure how scary it actually is.

Corpse Party Blood Drive will be released this year, I think.

Silent Hill 3. You can get that on PSP, right?

There is Silent Hill and Parasite Eve games on PSN that can be played on PSP. For phone you my try Dead Space.

When I saw mobile, I thought meant like those old handphone games, back in the days of J2ME. There was the 'Darkest Fear' trilogy by Rovio mobile back then - wasn't too scary, but was pretty cool at that time. Imagine my surprise when I found out they were behind angry birds. But yea, I digress. Dementium is great, if a little repetitive. Especially the first one.

Year Walk on iOS - probably more creepy than outright scary, but there are some scares to be had.

I came to say Dementium but I see you already have it. Those crazy screaming worm babies scared the shit outta me!

For DS I remember two:
Moon
Shin Megami Tensei

For PSP you should use the built-in psx emulator and play some classic sagas, such as:
Resident Evil
Silent Hill
Clock Tower
Dino Crisis

:)

There was also Lost Souls (something like that) in either of the Indie Gala Mobile bundles.