For the colorful environments and horror theme I would say Kiss Psycho Circus which isn't sold by GOG by the way.

I think Condemned: Criminal Origins is an excellent title but isn't colorful and the action happens mostly inside buildings, isn't available on GOG's store either.

How about Unreal and its expansion Return to Na Pali? Although the story is mostly told through environmental storytelling and scattered notes, rather than spoonfed in the form of cutscenes and dialogue. So it's way more subtle and exploratory, as far as the story goes.

Still: it's colorful, and has amazing ambience, it's got quite a few outdoor scenes, and yes there are moonsters to shoot.

Undying uses the same game engine.

I don't think anyone would categorize Unreal as horror, though it has its spoop moments. Then again, Undying didn't feel particularly horrifying to me either.