Psycho-Pass is maybe more of an action-sci-fi, but the whole show, and doubly the first series, has significant horror elements that are focused around a dystopian future where slavery and violent murder is widely supported and done because institutions do it (pretty wild right), and as peoples' mental stability goes down (how stability is judged is a big plot point), they must submit to increasing punishment/rehabiliation.

To be honest, I find it very horrifying largely because it's scarily plausible. Nobody (again, at least first series) is like implausibly innately villanous just for plot, and the ambivalence with which the ruling class and cop characters kill is amazingly shown, while the 'criminals' are largely just reacting to an insane societal system. It's too close to reality for me to feel.. comfortable, at any stage.

In addition, never watched it, but I heard good stuff of Serial Experiments Lain.