Here are two games I'll list...
Ib
The Witch's House
Ib
SPOILER
A horror game you can download. It has 4 good endings and 6 bad endings (3 if you don't count to other 3 variations of one of the endings). The ending you get depends on the choices you make throughout the game. It has a nice story, too. Not much horror though.
The Witch's House
SPOILER
A horror game with lots of horror and many ways to die. I won't say much, but if you get the True Ending, there's an amazing twist which I refuse to spoil. Also read the novel, which is a prequel to the game's events.