I don't remember horror films that well, but horror games especially late 90s to the mid 00s were fantastic. Resident Evil, Silent Hill were the two big ones, with a bunch of smaller titles like Haunting Ground, Forbidden Siren, and Eternal Darkness. Even the late 00s had a few worthwhile spooks like Deadly Premonition, Dead Space, or even STALKER.
It seems back then horror games remembered to have gameplay. I liked Penumbra when it first came out, but Frictional then made Amnesia which is barely a game. And then Outlast came and people just did it to chase the streamer bandwagon.