As a big fan of survival horror myself I warmly recommend you try Cataclysm, a survival horror roguelike :
http://whalesdev.com/forums/index.phpIt's ASCII or tileset for some versions, so don't expect scary visuals, there's no sound and no real scenarization (just clues dropped here and there as to what may have happened).
The tension comes all from the survival, the gameplay itself gives a harshness and grimness I've rarely seen in any other game.
You are dropped in a huge randomly generated wolrd, beginning close to a city, and you'll start looting around for basic supplies (aim the sports goods shop for a backpack and baseball bat, the grocery for some food and drink, break into a house, cut some cloth downs to rags, then go to the gas station and fill empty plastic bottles with gasoline to make petrol bombs with the rags, hit a pharmacy for some stimulants or the much-needed thorazine if you've picked the "schizophrenic" traits for extra character points.....).
Then various zombies will start appearing here and there and things go funny. Some of the craziest desperate fights and narrow escapes I've ever played.
That's really the basics, later on you may find yourself building a cabin deep in the forest or gearing up to raid underground laboratories and bunkers for some high-tech stuff.
You'll find the forums shares a good part of it's community with bay12, they got a "what's going on in your zombie apocalypse" thread that is a good showcase for the game.
Really can't miss this one!
edit: eh, just noticed cataclysm got his own thread on the first page.