System Shock 2 was the first horror FPS that I played, and it is the benchmark for me. Where SS2 was the first FPS/RPG, FEAR2 is a true FPS and succeeds where Doom 3 failed (that game relied way too much on unfair surprises). FEAR was better, but FEAR2 is worth it at a reduced price ($30 or less).
Aww I dunno, I kinda liked Doom 3 that way. Then again, I played it alone in a room w/ all the lights off and headphones so it was pretty damn scary...
It seems like there's about a dozen games that have popped up on Steam recently as either discounted old tier-1 games, or intriguing tier-2 games for under $30. I'd say its a good time to look @ those games while all the other developers wait for the MW2 storm to subside.