I feel like naughtydog captured the "horror" feel best in Uncharted 1 (in the later levels before you are officially introduced to the cursed) compared to The Last of Us games. The mobility of Nathan Drake and, of course, the cursed also helped (I think). I think what helped was that you are not expecting that kind of turn at all. Sony/ND needs to remake Uncharted 1.
The Last of Us games capture the feeling of being in an apocalypse, but they never felt "scary" or "horror" to me. Come to think of it, RE4 doesn't either, lol. RE2 and 3 were better with the "horror" feel. The cheesiness of RE4 completely destroys that for me.
I will say that in Part 2, and some areas of Part 1, ND did put you in a tense spot.