Depends on what systems you have, but there are definitely some very good survival horror games that are still pretty cheap to collect. You didn't specify how cheap we're talking, so I'll focus on games that are around $20 or less.
For games like Silent Hill, I'd definitely recommend
The Evil Within, which you can buy for less than $10 for PS3/PS4/360/Xbox One. It's a Shinji Mikami game that's kind of a spiritual sequel to Resident Evil 4 with a lot of Silent Hill-esque psychological horror elements. It's more action-focused than the Silent Hill games but the vibes are definitely there.
The Evil Within 2 is also dirt cheap and available for PS4 and Xbox One.
Alan Wake also has some Silent Hill vibes and you can get the Xbox 360 version for less than $10.
And I know it's controversial, but the
Silent Hill HD Collection contains both Silent Hill 2 and 3 and sells for a little over $20 for the PS3 version. It's definitely the worst way to play these games due to technical issues and the voice acting in Silent Hill 3 being changed for the worse, but in terms of bang for your buck it's a pretty great deal and I would say the ports are at least acceptable enough, more so for 2 than 3.
Silent Hill Homecoming is also pretty inexpensive, it's not the best Silent Hill game by any means but still worth a playthrough.
A lot of the Resident Evil games outside of the original trilogy are pretty affordable. Code Veronica is a classic and the
PS2 version can be had on eBay for less than $15 all day. Same with
RE4 for the Wii (also the PS2 version but the Wii version is the one I'd go with).
Resident Evil 0 and the Resident Evil 1 remake are cheap on the Wii and as a
bundle on the PS4/Xbox One/Switch (The
original Gamecube version of RE0 can also be found for under $20 online). There's also
RE5 and
RE6, which aren't my favorites but still worth playing and don't sell for much.
Resident Evil VII is a masterpiece and you can get it for less than $15 on PS4 or Xbox One. The
Resident Evil 2 remake is also available on PS4 or Xbox One for less than $20.
The Last of Us And
The Last of US Part 2 on PS3/PS4 are a great value, they're both excellent AAA horror games that are cheap.
Obscure: The Aftermath on the Wii is a cool horror game that costs less than $20. The
Dead Rising games on 360/PS3/Wii are also super cheap, as are
Dead Space and
BioShock on 360/PS3.
Tormented Souls is a modern throwback to classic PS2 era survival horror games and doesn't sell for that much on ebay for the PS4/PS5/Switch.
If you're looking for something more retro
Martian Gothic on PS1 can be found for around $20 or less and is a decent old school survival horror title.
Extermination is an early PS2-exclusive survival horror game that sells for less than $20 and offers a solid horror experience.
I could probably think of some more but I think that's a pretty good list of games to start with to build a nice horror collection on the cheap. I only collect and play games with physical releases so that's what I focused on here, but if you're cool with digital only I'm sure there are probably a ton more cheap horror games on Steam/PSN/Xbox Live that could download.