Gaming

Death Road To Canada is a classic, it is cartoonish horror but it is so highly critically acclaimed I have to recommend it.

https://store.steampowered.com/app/252610/Death_Road_to_Canada/

Forewarned (haven't tried)

https://store.steampowered.com/app/1562420/FOREWARNED/

Murky Divers (haven't tried)

https://store.steampowered.com/app/2963880/Murky_Divers/

Endgame: Road To Salvation (it has splitscreen!)

https://store.steampowered.com/app/1264920/Endgame_Road_To_Salvation/

Survivalist: Invisible Strain

https://store.steampowered.com/app/1054510/Survivalist_Invisible_Strain/

Barotrauma

https://store.steampowered.com/app/602960/Barotrauma/

and of course.

Deep Rock Galactic

https://store.steampowered.com/app/548430/Deep_Rock_Galactic/

maybe 7 Days To Die or Project Zomboid?

Abiotic Factor seems to be popular.

Storm Chasers seems like it could be categorized as co-op realistic horror lol, but it looks pretty fun actually

https://store.steampowered.com/app/862800/Storm_Chasers/

Another SOLID recommendation is Valheim, it has horror elements but isn't really a horror game, still it is one of the better co-op open world games period.

https://store.steampowered.com/app/892970/Valheim/

edit wait do you mean local co-op?

Escape the Backrooms and Phasmophobia definitely scratch that itch. Outlast Trials and Dying Light would also be in that vein.

Wanted to recommend The Quarry and similar. But they're not really two player either. You just take turns.

Baldur's Gate 3 has spooky elements, especially in Act 2. But I wouldn't classify it as a spooky game.

House of the Dead are horror games but more on the action corny side. But I really liked House of the Dead: Overkill.

the We Were Here series is pretty excellent, with some light horror.

I LOVED Dying Light. I tried to get my wife to play with me, but she quit after 30 mins and had to calm down. It was too scary/stressful for her.

Defcon

Is barotrauma spooky enough ? Plus they'll get an expansion next year, allowing you to buiod bases

Wife and I sunk plenty of time into Grim Dawn and Enshrouded. Fantastic experiences both

GTFO is technically balanced for 4 players so it might be difficult to handle as a duo, but is a pretty good co-op horror-y shooter.

I don't know how spooky youre looking for, but Obscure and Obscure II: The Aftermath are classic co-op Survival Horror gameg. Well, theyre not that scary, really. Sometimes it makes you laugh because of how ridiculous it is. But still, the game was fun and when I played the game with my brother, I went in with zero expectations and walked away fairly impressed.

Abiotic Factor can be a bit spooky at times in the same way the game that inspired it, Half-Life, was sometimes spooky.

Both Resident Evil Outbreak games on PS2 are playable on emulator but they have a pretty involved setup process. If you have the technical capability to follow the instructions, that could be fun. Of course, with RE, there is also Resident Evil 5 and Resident Evil 6, which aren't really call that scary since theyre more action focused, but they are cooperative capable.

Sons of the Forest is also pretty good if you are looking for a more open world survival atyle game. Also has quite a few spooky moments and enemies.

In that same idea, Project Zomboid is like a zombie apocalypse Diablo. But with more survival based mechanics. The game isnt that scary once you figure stuff out, but the risk is always there that your character could permanently die at any moment.

I hear and see good things about Phasmaphobia.