I love horror games, and they're frequently the only game genre I look forward to. I always try my best to immerse myself fully when I play them, especially the first person ones. Slender made me jump, of course, but it didn't
disturb me. I need to be disturbed, or else once the game is over, everything just goes back to normal.
Try SCP Containment Breach. If you're familiar with SCP, it's especially fun. It's arguably the same thing as Slender, but I found it to be more effective. The blink meter is a stroke of genius.