Is there any good horror game? A free one, like CoF, Slender, etc.

I need it!

Cry of Fear

Free? Rather unlikely.

Unless you count... Slendytubbies, Survivers (yes it's meant to be spelled like this).
But I'm afraid other games will cost you. At least a little.
Like... Garrys Mod. Infinite amount of Horror Maps that can be played with friends.
Dead Island, Left 4 Dead 1+2, Killing Floor,System Shock 2....

And if you also just want some co-op shooting I can recommend Serious Sam 1-3. Although it's NO HORROR at all ;)

Well, if you have half-life 2, you should get a mod called No more room in hell. It's free, and has a pretty large following. I believe it has been green lighted, so it could become standalone at some point.

I really enjoyed cry of fear. I made a video on it if you want t see the game in coop
https://www.youtube.com/watch?v=joRnodXssbs