Horror anime.

Shiki and Boogiepop Phantom

well Another is my favourite

Another
Corpse Party: Tortured Souls
Elfen Lied
Ghost Hunt
Hellsing
Jigoku Shoujo (Hell Girl)
Monster
Parasyte (Kiseijuu: Sei no Kakuritsu)
Shiki
Tokyo Ghoul
When They Cry (Higurashi No Naku Koro Ni)
When They Cry (Umineko No Naku Koro Ni)
Yami Shibai

Elfen Lied
Blood +
Paranoia Agent
Another
Corpse Party: Tortured Souls
Hellsing
Higurashi When They Cry
Parasyte: The Maxim
Tokyo Ghoul

Akame ga KILL!

Kara no Kyoukai
Umineko
Deadman Wonderland

Japanese Name - Shinsekai Yori

English Name - From the New World

It's also a novel.

I really enjoyed this anime it has a lot of mystery, drama and horror.

I suggest Corpse Party: Tortured Souls. It has many gores and violent scenes and stuff but it was nice. Good Plot.

-Yuki-Senpai

blade (not to be confused with the movie)