Psychological Horror

""Then there's the kind [of horror] where the guy in a scary mask isn't in a cupboard but standing right behind you and you just know he's gonna go "ABLOOGYWOOGYWOO" at some point but he doesn't and you're getting more and more tense but you don't want to turn around because he might stick his cock in your eye.""

- Yahtzee on Amnesia: The Dark Descent

Psychological Horror is an element of fiction, not tied to a particular genre (it manifests itself in many stories which are not identified as "horror stories"), which aims at creating horrific or unsettling effects through in-depth use of psychology.

This may involve replacing physical threats with psychological ones (e.g. madness), thorough exploration of the mind of the involved protagonists (including the bad guys/MonsterOfTheWeek), replacing overt displays of horror by more subtle, creepy details, and so on. Often overlaps with Surreal Horror.

Often works hand in hand with Nothing Is Scarier, Mind Screw, and Through the Eyes of Madness. Due to the nature of this form of horror, it is usually Nightmare Fuel.

Anime

 * Key the Metal Idol, the root influence of a lot of the other anime listed here.
 * Neon Genesis Evangelion in some parts. In other parts, it's pure Cosmic Horror.
 * The movie End of Evangelion certainly piles on the horror aspect of this trope.
 * Ergo Proxy
 * Death Note
 * Detective Conan
 * Texhnolyze
 * Paranoia Agent
 * Serial Experiments Lain
 * Boogiepop Phantom
 * Ghost Hound
 * Kara no Kyoukai:
 * Mononoke (pushing it to the limit: several complex ghost stories where exploring the minds of the ghosts and of the protagonists is a major plot point)
 * Monster
 * Impressively the only threat in Monster comes from the horror/madness as it's established very quickly that Johan specifically wants to keep Tenma from being killed.
 * MPD Psycho
 * Narutaru
 * Ghost in The Shell 2 : Innocence - The whole part in Kims mansion goes quite into this.
 * Higurashi no Naku Koro ni
 * Umineko no Naku Koro ni
 * Perfect Blue
 * Uzumaki
 * Elfen Lied, moreso in the manga than the anime.
 * Nightmare Inspector
 * Alien Nine
 * Gregory Horror Show
 * Puella Magi Madoka Magica combines this with plain Cosmic Horror Story.
 * Shamanic Princess

Film

 * The Shining
 * On that note, any other film based on a Stephen King novel.
 * Carrie, maybe?
 * The Bad Seed
 * The Dark Knight Saga appears to have traces of this, especially The Dark Knight.
 * Take a movie by Tarkovsky. Any movie by Tarkovsky. But particularly Stalker.
 * This is a big part of Japanese horror, and why it was so popular a few years ago.
 * Juon/The Grudge
 * Ring
 * Uzumaki
 * Noroi the Curse
 * Kairo
 * Audition
 * Reincarnation
 * Dark Water
 * A Tale of Two Sisters is Korean, and Korea is no slouch in this department, also putting out movies like:
 * Acacia
 * Oldboy (arguably)
 * The Red Shoes
 * Whispering Corridors (and its many sequels)...
 * The Eye, which is a Hong Kong movie, also does feature some elements of J-Horror.
 * Shutter, a Thai movie.
 * Alone, by the directors of Shutter.
 * Almost any Alfred Hitchcock movie ever made:
 * Psycho
 * Dial M for Murder
 * Vertigo
 * Rear Window
 * Strangers on a Train
 * The Cell (takes place inside the mind of a serial killer. It's a very unpleasant place.)
 * The Silence of the Lambs and that whole series.
 * Antichrist
 * Most of David Lynch's movies fall into this category.
 * Alejandro Amenabar's The Others.
 * Right At Your Door
 * Black Swan
 * Julias Eyes

Literature

 * Heavily used by HP Lovecraft
 * Edgar Allan Poe's main subject as well.
 * Lots of Stephen King's stories also qualify:
 * As mentioned, The Shining
 * Thinner
 * The Tommyknockers
 * Dolores Claiborne
 * The Man in the Black Suit
 * House of Leaves. Does the Navidson Record really exist? Did Zampano actually write the manuscript or is it all in Johnny's head? Is the house on Ash Tree Lane a metaphor for the minotaur the darkness within the human mind? Does anyone have any idea what's going on at all?
 * Miriam 
 * Many of George R. R. Martin's stories use this trope heavily. Examples:
 * A Song for Lya
 * Meathouse Man
 * The Second Kind of Loneliness
 * The Bad Seed
 * Victor Kelleher's insanely creepy Del-Del.
 * Alexandre Dumas, pere, and his The Woman with the Velvet Necklace.
 * Caitlin R. Kiernan's The Red Tree
 * The Necromantic Mysteries of Kyle Murchison Booth

Live Action TV

 * The Doctor Who episode "Midnight." It's also a specialty of writer Steven Moffat, who likes to use a combination of Primal Fear and Paranoia Fuel to turn things that really shouldn't be scary terrifying.
 * Same goes for The God Complex. A monster that strips away your faith - not just religious faith, but faith in anything - and feeds off of it? Terrifying.
 * American Horror Story uses it along with all the Surreal Horror, particularly in Ben's plotlines.

Video Games

 * Quite a bit of Survival Horror or just horror-themed games banks on this as well to supplement the atmosphere and Paranoia Fuel:
 * Fatal Frame
 * Silent Hill
 * Silent Hill: Shattered Memories in particular relies on psychological horror, since it prefers to downplay the "survival" element.
 * Eternal Darkness, especially since one of the three traits in the game is Sanity, alongside Strength and Mana.
 * The Suffering. The ghosts of sadistic psychopaths are not uplifting company.
 * F.E.A.R.
 * Penumbra.
 * Amnesia the Dark Descent.
 * Rule of Rose.
 * The Path
 * Pathologic
 * Yume Nikki
 * Alan Wake
 * Dead Space
 * Manhunt
 * Condemned
 * Thief
 * American McGee's Alice
 * Alice: Madness Returns
 * Dark Corners of the Earth
 * Calling
 * Since Psychological Horror is so universal a trope, it can commonly be found even in games that are not built around a horror premise :
 * One or two of the missions of SWAT 4 tackle extremely disturbing crime cases in very creepy locales.
 * One of the reasons why the original Operation Flashpoint and its current successor Arm A are praised for their realism is how they not only accurately portray the tech and tactics employed on a modern battlefield, but also the tension, paranoia and uncompromising unpredictability of military operations. Compared to most other military games, which are usualy action-pumped thrill rides with lots of loud set pieces, these titles have the player experiencing almost unbearable tension while moving through enemy territory. The enemies can be well hidden, may already know of your position, may be already surrounding you stealthily and killing you before you even manage to register them and realize your grave mistake. And don't even get us started on situations like being Trapped Behind Enemy Lines, completely out of ammo and hiding in the bushes, because heavily armed brigades of soldiers and vehicles are combing the whole area. All of this goes hand in hand with the horror occuring commonly during missions set in broad daylight.
 * Iron Storm is another good example of a shooter that has zero supernatural elements, but is set in a nigh-nightmarish Dieselpunk world scarred by an increasingly insane and dystopic Forever War.

Web Comics

 * Silent Hill: Promise
 * The Terrible Secret of Animal Crossing in a similar vein!
 * Gunnerkrigg Court dips into this in Chapter 11, "Dobranoc, Gamma", Chapter 16, "A Ghost Story", and Chapter 19, "Power Station".
 * Due to her very nature, it seems that any extended appearance by Zimmy will cause a brief genre shift into psych horror.