Bioshock Infinite
Anyone else as excited for this one as I am?
= new reply since forum marked as read
but it was a good game, I'd certainly recommend it. It did have some horror elements, genetic experiments gone wrong, all in a crumbling Randian utopia underwater. What's not to like? 
More than straight horror, I think "creepy" describes it much better. Incidentally it's on sale on Steam today for 75% off.
It's in the same vein of the old System Shock games, if you know those.
Can't tell you anything about Bioshock 2, never played it; the story just doesn't quite "click" with me.
There are some RPG elements, in that you can acquire tonics that give you certain special abilites. The game as a whole is linear, you move from one area of the city to another, and you have to remove certain obstacles before being able to move on. I think you can travel back to places you already visited though (although my memory is a bit cloudy), although I don't remember there being any benefit to it.
