Speaking of the Lynx and horror games, Atari's handheld powerhouse saw the release of Dracula: The Undead. It's a point-and-click horror adventure that's actually very good and features some excellent music for a Lynx title.
I don't know how well the Zero runs Lynx games (since I play the real deal instead) but if they're emulated decently, Dracula offers another choice for horror gaming on the GCW Zero.