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The stanley parable really shows off what the source engine is; not saying this is a tour of what it can do-it just adds to the fun. Choices at almost every turn, the narrative being hilarious, and sometimes frightening, can lead to Stanley making bad choices. Try it out and do your best.
Anna is a unique and confusing 'horror' game. It has a few jumpscares, but beside that it is just an interactive narrative that you should try.
I say it's hard to make a survival horror multiplayer, but No More room in Hell accomplishes it. My friend and I have been looking for a horror title for 2 people thats actually scary. Try it.