Honestly the main issue I have with horror games in general is that there's too much emphasis on making the enemies presence as well known as possible. They've always got to announce their presence with a loud roar, there's loud musical cues when they show up, and their entrance is made as grandiose as possible with them crashing through something whether it be a door, window, or even a wall. The last time I was genuinely spooked was probably playing Happy Time Circus 2 and that's mostly because of how quiet enemies generally were. For most of the enemies their alert noises were relatively quiet and they were generally designed to sneak up on you (for example, the possessed balloons moved slowly and were generally accompanied by regular balloons, clown ghosts could noclip through walls and would periodically turn completely black except for their eyes, and bouncing skulls are pretty small and can sometimes be hard to spot until they're nibbling on your ankles).
Shit like that is what I'd like to see more of in horror games, enemies that constantly have you on edge looking over your shoulder for shit sneaking up on you instead of just waiting for something to pop out loudly at you.