The title explains it all.

Dawnguard?

Not sure if you're looking for an overhaul. But this isn't necessarily a "horror" mod, but it definitely adds some creepy/freaky monsters that could make some dungeons something like a horror game...

http://skyrim.nexusmods.com/mods/9694

TES Alliance has a horror themed mod releasing on the 31st for Halloween

i almost posted the exact same question earlier today. Fallout 3 was so eerie and creepy. Sneaking round abandoned schools and such. That game really did make me jump sometimes. Skyrim is awesome but it doesnt have any suspense or creepiness to it. Bethesda can obviously pull it off, weird huh

Yeah there's nothing really scary about skyrim, for instance i really hate the ghost in skyrim as there is nothing ghostly or scary about them. Oblivion had those scary wraiths at least.
A mod that makes the ghosts scary would be awsome + some scary sounds in ancient dungeons like something out of a horror - whispers, howls, laughs, maybe some random apparitions just showing up and vanishing i bet a good modder could make that happen.

Guys is anyone already working on something like this??