Good horror would be Menmosyne or Ga-Rei: Zero (not really scary but has lots of blood and creepy moments and has romance). If you really wanna get horrific you could try Bible Black.... <.< I STRONGLY wouldn't reccommend it though.
I would give my romance stuff but you probably wouldn't like it so ;3
1. Mirai Nikki. That is literally the two things you just said fused into one anime. c: Also, if you are a fan of yandere characters, then you will find this anime as a favorite pretty quick. It's reminiscent of a Hunger Games-esque plot (I mean by this that you have several 'players' and only one can get out alive. In other words, this anime plays out like a wild goose-hunt survival story!)
2. Puella Magi Madoka Magica- Well... it's not so much gory as it is psychological-based, and to a tamer extent. I know it looks really cute and fluffly on the outside with the colorful and cute character art, /but it's all. a. ploy./ It's purposefully supposed to make you comfortable and trick you into thinking it's your typical magical girl anime, but it is far, far, far from that.