Horror (good ones in my opinion anyways) Deadman Wonderland, HellGirl, Yamishibai (this is a shortform series that has a collection of various Japanese horror stories),Blood+, Blood C, Ghost Hound, Ghost Hunt, Rampo Kitan, Madoka Magica (believe it or not, it's quite disturbing), Psycho Pass (if you like psychological horror), WitchBlade, Another, Mirai Nikki, Psychic Detective Yakumo, Corpse Party (more of a video game but there's a short anime too), Basilisk, Higurashi, Umineko, Shiki, Pet Shop of Horrors (it's very short)
Not well known anime: Kill Me Baby, Get Backers, Kino's Journey, Sands of Destruction, The Pet Girl of Sakurasou, Innocent Venus, Kotoura-San, The Legend of Legendary Heroes, Hero Tales, My Bride is a Mermaid, Hanasakeru Seishounen, The Daily Lives of Highschool Boys, D Frag, Gargantia. These are only a few I know