All recommendations given here are quite good choices, however it depends on your team of 'scary' and your type of gore. Look to Doom and Deadspace for tons of blood when you shoot/kill things and enjoy that type of excessiveness, because that's essentially what games tend to offer. More blood and gibs than you would expect.
Games like F.E.A.R, Jericho and Condemned 2: Bloodshot are more of a thriller [still plenty violent and bloody] type of game that can and will actually scare the hell out of you.
Fallout:New Vegas isn't a horror game but has some incredibly violent kills in it, from human enemies to monsters alike. Believe it or not, this game scared the bejeezus out of me several times when sneaking through unlit hallways to be sledgehammered by an enormous mutated human with a cloaking device from behind. I don't scare easily, but some things just catch you completely off-guard and are intended to do so.
Resident Evil is my favorite choice of them, as it combines a good amount of blood and gore both from your action-oriented kills, cutscenes and general ambiance of the game; you can get much more of a 'horror' feel from a game of that style because Capcom puts work into the detail of it. There's a scene (not to be a complete spoiler) in RE5 where you're forced to walk down this long hallway with light projecting shadows on the wall beside reveals show blood stains and mutilated corpses..which leads to other zombie goodies and fun stuff.
Top picks are definitely the Resident Evil series, Jericho, Fallout: New Vegas and Condemned for some potential scares [ideally played in the dark with sound] or Doom, Dead Space and Manhunt for the more violent style.
Violent as hell, but probably won't scare you: GTA, Doom.
Plenty of violence/gore and likely to make change your pissed-on pants: Fallout, Jericho, Condemned.
Lastly, if you have a good gaming system, Steam offers [may be available elsewhere too] for purchase this game called Cryostasis. It's not popular, I'd never heard of it but the game is VERY environment driven and horror-oriented. I can only play but so much of it in 1 sitting as the game relies more on it's theme than it's action to please the player, and it does a good job.