Doesn’t technically fit into these media types, but Everymanhybrid is a fantastic ARG on YouTube. You can watch the actual series on their channel or watch a youtuber called Night Mind's series, everymanhybrid Explained. It’s an old series so watching it for the first time now 10+ years later isn’t quite as exciting as when we actually experienced it happening and we’re able to participate in it, but Night Mind puts it all together in a much easier to follow way and the thought and effort the creators put into the story was really great.

I know it's pretty old already, but have you tried Silent Hill 1 to 4? Also, there's an I-N-S-A-N-E. 90's a film that actually inspired Silent Hill, it's called Jacob's Ladder

I second "Get Out" and "Us" (though the latter is heavier on the "slasher" - but I feel like psychological horror is a very big part of it, too).

Also! "It Follows". Pay attention to the setting, because it's so damn weird and none of the characters ever talk about, they just live in it (retro-futuristic items/furniture, seasons suddenly changing from scene to scene, etc). Thoroughly enjoyed.

As for shows, "Black Mirror" is pretty cool.

"Hemlock's Grove" is a solid horror-themed drama series, too.

The game inscryption might fall into that category 🤔

not really 4th wall breaking but the zero escape trilogy of games is definitely. something. very psychological and philosophical. absolutely one of my favourite series!

Idk if you're still looking, I haven't read it myself but my friend spoke very highly of House of Leaves. It's a book, and it should be experienced as a physical copy only, as it kinda plays with the medium itself. You wouldn't get the full experience with a PDF or an audiobook.