This is superb advice. Horror films have proved immensely cathartic for me on many occasions, for many reasons (including death of loved ones, major past trauma, and other factors). I find horror films even are a huge comfort to watch when I'm ill. I never watch The Sound of Music on such occasions (much as I love it at other times).
Anyway, here's a huge, though not exhaustive, list of horror films I enjoy (I've used years to avoid confusion with tepid remakes):
The Cabinet of Dr Caligari (1920)
Nosferatu (1922)
Frankenstein (1930)
Dead of Night (1945)
Les Diaboliques (1955)
Night of the Demon (1957)
Dracula (1958)
Psycho (1960)
Les Yeux Sans Visage (1960)
Peeping Tom (1960)
Village of the Damned (1960)
The Innocents (1961)
The Haunting (1963)
Onibaba (1964)
Night of the Living Dead (1968)
Rosemary’s Baby (1968)
Don’t Look Now (1973)
The Wicker Man (1973)
The Exorcist (1973)
The Omen (1976)
Carrie (1976)
Martin (1977)
Suspiria (1977)
Halloween (1978)
Alien (1979)
The Changeling (1980)
The Shining (1980)
Possession (1981)
Poltergeist (1982)
The Evil Dead (1981)
Dead Ringers (1988)
Ringu (1998)
Audition (1999)
The Sixth Sense (1999)
The Mist (2007)
Let the Right One In (2008)
Kill List (2011)
The Woman in Black (2012)
The Babadook (2014)
Under the Shadow (2016)
Get Out (2017)
Midsommar (2019)