Anime isn't really the best medium for horror since the cartoony designs make it hard to take seriously, but there's a few standouts out there.

If you can get past the pretty wacky character designs, Shiki is very good. But I'm really not joking about the character designs, at one point it cuts from a pretty serious scene to a guy with blue hair and cat ears strolling down the street dressed like a disco star with a v-neck extending all the way down to his dick and I lost my shit lmao. But other than that, it's probably the closest anime to actual horror with some pretty fucked up scenes and unsettling atmosphere throughout.

Devilman Crybaby is not that creepy per se, at the start it's basically like some superhero series but with a lot of sex and gore, but Devilman is pretty famous for it's incredibly upsetting and dark latter part. The manga even warns the reader not to read any further at one point lmao. But it's a pretty divisive show, either you enjoy the fun gorefest and fucked up ending or you think it's trash, either way it's worth giving a try.

Paranoia Agent is also not exactly horror, it's pretty much a bit of every genre out there, but the horror parts of it do manage to convey genuine dread and panic. It's Satoshi Kon's last completed project before his unfortunate death, and it's very very good.

And speaking of Satoshi Kon, of course, there's Perfect Blue, which is not just the perfect horror anime but maybe one of the most unsettling movies out there. There's few movies that manage to be this creepy and fuck with the viewer to this extent.