I mentioned my choice for long-term games yesterday when discussing my upcoming micro-campaign. Call of Cthulhu is one of the oldest horror roleplaying games on the market, mostly due to it being one of the best as well. I know some people view the d% system that it uses as old fashioned and outdated, I believe it does a great job at modeling the investigative style that really shines with horror games while keeping things relatively simple. Call of Cthulhu is the game I reach for when I want to run this kind of game and it will have a place upon my shelf for years to come.
My choice for a shorter-form horror roleplaying game has got to be Dread. This is the game that uses a Jenga tower instead of dice to resolve actions and characters are created by answering a series of leading questions. Dread does a great job at build the tension that's necessary in a horror game due to the uncertain nature of the tower. Each time a player pulls a block, the tower becomes less stable, meaning the next pull could be your last. The freeform and improve nature of the game also allows you to really play any kind of horror story you want. Dread is a game I believe everyone should play at least once.