I like horror games with big focus on narrative and feel "cozy" and have lots of mysteries/lore/good atmosphere/etc.
It's hard to explain but maybe this list will help make this fuzzy desire a bit more clear:
The Witch's House
Look Outside
Inscryption
Pony Island
Mystery Case Files Ravenhearst/Madame Fate
(sorta) Blasphemous
The games that don't really do it for me are things like Dollmare, the Amanda series, Backrooms, FNAF, similar things.