The Evil Within 2 is probably the most immersive game that has a great story as well as horror. The story is rather unique unlike other horror games based on a typical horror movie. You play the role of detective Sebastian Castellanos, who must descend into the world of Union to rescue his daughter, Lily. Its a really great game for those who want a perfect balance of gameplay and horror.
The horror genre owes a lot to Shinji Mikami, and if someone asks you why, just show them this game. It ticks all the right boxes when it comes to elements you want to see in a horror game, with a dirty, brutal, and challenging world where every location feels like a rollercoaster ride.