I wouldn't call paranoia agent a horror first. It definitely deals with fears and people losing their minds, but that's not uncommon in psychological thrillers. I also think anything Satoshi Kon did is worth watching (might be biased here). At least so people can form their opinion on those works.
Despite Umineko being bad, it made me curious. Fucking goats man.
I guess it's just that I don't like jump scare/gore horror, and find things that blur the line between reality and fantasy like Paranoia Agent (or most of Kon's other works) and Twin Peaks more scary than man-eating monsters or psychopathic killers. I really like Lynch's work there and want to watch more of his filmography, but the way he can make seemingly normal things unsettling as hell is a bit too much for me sometimes.
Then there's Another, which I initially fell in love with due to the bizzarre, Lynch-esque atmosphere it had. For example, I found the doll museum lady amazing due to how even her dialogue was unsettling, repeating the exact same things to the MC on two different occasions... but then she just ceased to matter to the plot and never showed up again, with not a single character even noting her absence. I kind of felt like the first few episodes were a psychological thriller with a single unfortunate death thrown in, but then the damn curse showed up, turning things into a crappy version of Final Destination... that development really saddened me, because I thought I was getting Lynch-lite when what I ended up getting was just cheap and senseless gore.
As for Umineko, yeah, I guess it's nice that it might've made some more people learn about the series, but it was pretty badly handled, IMO. I was really let down when I realized the anime adaptation stopped at the halfway point of the series, which was well before things actually paid off plot-wise.