Before I start listing the ones I've seen (or started), the kinds of horror stuff I like is more psychological horror than just gore-fests. I'm not super squeamish but it kind of depends on the context. Even though Devilman (the manga and the OVAs) had more gore than something like Attack on Titan, I put off watching it because it was just so soul-suckingly grim and "Devilman" is more like a horror superhero story, in a way. (Plus I could gush about the brush work in the manga and the creepy-gorgeous animation in the OVAs
-Seen Attack on Titan and finished the first season of the anime. Like I said, I found the tone of the anime very grim, which made the fandom shenanigans I saw on Tumblr all the weirder. (Why bother shipping characters together that die in the anime? Plus instead of Mikasa, I don't find any of the characters that attractive :/) Plus it had one of my fears in it, the fear of being eaten alive and it just...bleugh.
-Started but haven't finished Death Note
-Started but haven't finished Elfen Lied
-Seen a bit of Hellsing with my brother
-Seen Ninja Scroll and liked the animation (then again, I looked it up from the credits in The Animatrix)
-Seen Perfect Blue and liked it. Can't beat Satoshi Kon
-Seen Puella Magi Madoka Magica and liked it
-Read the first two Vampire Hunter D light novels and seen the OVA and like it for the sci-fi horror elements
I...don't know if that helps but any thoughts?