I have a GearVR, Note 5, and iPega PG-9021 gamepad. I'd recommend picking up some Sennheiser HD 202 II headphones if you don't have decent ones already (especially if you share your goggles...I bring my setup everywhere & don't want people using my earbuds haha). Also grab a microfiber cleaning cloth (like for glasses) to keep the lenses & phone screen clear of dust. As far as horror games go, check out Dreadhalls & Sisters. You definitely want to play Dreadhalls with (good) headphones:
http://www.dreadhalls.com/
Sisters is another good creepy game:
http://otherworldinteractive.com/project-view/sisters/
The horror genre is amazing on the VR because scary content because a VERY personal experience. Here's a recent viral video that illustrates it pretty well:
https://www.youtube.com/watch?v=6urJejluX44
I will note that there are two main problems with VR right now:
1. Lack of (cheap) content
2. Lack of experience
Because this stuff is so new (the Consumer Edition of the GearVR was only released in November of last year), there's not a ton of quality content out yet, and what does exist is extremely short. For example, Adventure Time is REALLY cool (imagine Mario 64, but in VR), but it's only three levels, which equates to about 30 minutes of gameplay. That, and a lot of games cost $10 or $15 - so you're really paying for an early-adopter experience.
Aside from lack of content & lack of quality cheap content (I'm used to paying 99 cents for a mobile game on my iPhone, you know? maybe $2.99 at most), the other big problem is the lack of experience on both the developer side & consumer side. We're still learning how VR works & how it affects us. For example, Minecraft for the GearVR just came out (it's awesome), but it's one of the few games that gives me simulator sickness (after turning off the VR controls & making it act like a regular FPS). And developers are still learning what is & isn't OK. For example, most headset makers recommend not doing any jump scares in VR games (for obvious reasons). And Dreadhalls utilizes snapturns by default (click-turns instead of allowing you to spin freely around) so you don't get motion sick.
Another issue is that you're running off cell phone graphics, so you're going to get a much better experience fro a PC-based headset like the Oculus Rift or HTC Vive. That's not to say games on the GearVR don't look cool & aren't fun, but you can get a lot more horsepower out of a computer vs. a mobile device. On the flip side, the GearVR is the best $99 I've spent in a LONG time. I have endless fun playing on it & showing it off to others (actually, introducing other people to VR is half the fun, for me at least). Here are some apps I recommend:
1. Omega Agent: Jetpack game. My current favorite one to play. Whee!
2. Neverout: Kind of a puzzle-maze game, basically the reverse of a Rubix Cube, you're kind of inside of a padded cell & can walk on the walls & ceilling and have to figure out how to get into the next room. Addicting, easy to burn through 20 levels in no time.
3. End Space: Not so much for the gameplay, but for the visuals - it's really fun flying a spaceship around. Not a huge fan of the controls or speed, but worth the investment simply to feel like you're in outer space.
4. Minecraft: Basically Legos in 3D. If you're already into it, it adds another level of controls & immersion that you don't get in the screen-based 2D versions.
5. Adventure Time: Short game but REALLY fun. They characters talk to you & involve you in the game, which I absolutely love.
6. Land's End: This is a really mellow experience game with some simple gaze puzzles. Think of it as VR yoga. It's neat because it puts you in a very surreal world, but your brain starts acclimating & thinking it's real, like when you go the edges of stuff like cliffs.
Other stuff to check out:
1. Oculus 360 Photos: 360 photos from all over the world. REALLY cool.
2. Oculus Video: Lets you watch a movie in an empty theater or on the moon. You can watch 2D or 3D movies. I bought Taken (2D), Shrek (2D), and The Martian (3D). The 3D effect wasn't very pronounced for me, and cartoons look better than film because you're using a cell phone screen with a magnifying glass in front of it.
3. Netflix: Lets you stream Netflix. If you stare up at the ceiling & click (iirc there's a chandelier or something) you can go into "void" mode, which (1) sets you in pitch darkness with just a screen, (2) lets you resize the screen (go from a 50" TV to a 120" projector screen to an IMAX-sized screen, it's basically just a floating video window), and (3) lets you recline in your chair or lay flat on your couch or bed and re-orient the video screen directly in front of you. Although personally I don't like watching movies because you can see the pixels of the screen, which gives it a strong screen-door effect & cuts out detail in the movies, which gives me eye fatigue & makes me tired. Fun to play with tho!
4. MilkVR: More 360 videos. I recommend The Interrogation, Sonar, and the hot air balloon one to start out with. The problem with 360 videos is that playing back a single 1080p screen is one thing, but 360 in HD is like a bazillion pixels, so most videos don't really look all that great. But it's fun to try a few out & some of them are actually really cool. I think these will be better on the computer-connected headsets where you can drive more data through them with bigger file sizes.
5. The Night Cafe: Go into a painting, super surreal. I always show this one off to people when they first try the GearVR.
6. GrooVR: Basically a 3D music visualizer. You start out floating down a river with sci-fi stuff floating around, lava streams blinking to the beat, etc. It's way cool if you want to chill & listen to some music. You can hook up your Spotify or SoundCloud account & also buy more visualizers.
7. VRSE: Has some neat VR art projects & video stories. Check out "Take Flight" as a neat demo of what VR can do.
8. theBluVR: Narrated underwater CGI experience. If you like this one, also check out Ocean Drift (lets you walk around by holding the touch button on the side of the headset).
There's a bunch of other stuff, but that's enough to get you started. There's also SideloadVR, and you can do stuff like play GTA or Crysis from your PC using a GeForce card, Gamestream, StreamTheather, and TriDef 3D, although the phone tends to overheat pretty quickly in the GearVR enclosure. Oh yeah, that's another thing to note - the phone sometimes overheats, especially if you're streaming stuff online for long periods of time, so be aware you may run into that issue from time to time. I've only had it happen maybe three times since I've gotten the GearVR tho.