Hello there and welcome to the exciting world of video games' Horror Genre.
To a person who is entirely new to horror games, let it be known first what elements usually included in horror games. usually they are:
-Puzzle solving
-Backtracking (retracing back the path you took)
-Jump scares
-"QTE" or Quick Time Events
-Boss fights (battling one-on-one against a stage boss)
Now considering all of the elements above are usually included in a horror game, i would suggest newcomers to play the "Resident Evil" (RE) series first.
My recommendation from the RE series would be:
(1.) Resident Evil Origins Collection,
(2.) Resident Evil 2 Remake,