The Neo Geo Metal Slug games were extremely fun to play side by side with a friend. Just note Metal Slug 2 has lag problems due to the engine used, but it was later ported to MS3’s engine as Metal Slug X.
Also, most versions of the games on PC come with the ROMs, if you’d rather use your own emulator.
Another set of games we also enjoyed a lot were the River City Girls games. Just had to use health cheats on the SNES game repurposed because it was getting too hard for the time we had. "<.<
For more psychological horrors, maybe the first Devil May Cry? Early PS2 game, and is a recycled Resident Evil project so part of the ambience remains. Later games are more toned down on horror though.
Dreaming Sarah, I found to be good, but its horror is more on the bizarre.
Limbo, been considering playing for a while now, and from what I’ve seen, jump scares seem minimal. Same for the creator’s other game, Inside.