Survival Horror
1. Resident Evil 5 - A good game, but survival horror element is not prominent as Resident Evil 4 as this is more action oriented. Don't bother getting this game if you don't like Resident Evil 4, or if you don't like any RE games.
2. Dead Space - One of the survival horror game that takes place in space. Anyone who is looking for suspense and horror should get this game, by all means.
3. BioShock - A first person shooting game that has horror that will spook you out. Get this if you like first person shooting game like Left 4 Dead series.
4. BioShock 2 - Same as BioShock, but with improved gameplay and new environments. Get this too if you like BioShock.
RPG
5. Star Ocean: The Last Hope International - A highly recommended upcoming RPG game. This version is better than XBox 360 as it has several exclusive contents, like multiple language tracks. I suggest that you use Japanses language as the voice acting is better than the English language. In my personal opinion, the English voice acting is horrible and horrendous....
6. Dragon Age: Origins - Good RPG game with great story, music, and gameplay. Recommended if you like Computer role-playing games like Baldur's Gate and Diablo games.
7. Demon's Souls - A hard but great Action RPG game which takes place in medieval times. Take note that this game's difficulty is extremely high.
8. Eternal Sonata - One of my favourite RPG games all time. The game is based on Chopin's dream, and the gameplay is based on music. Colourful graphics, nice gameplay, great characters, and etc. My only complain that it's story is linear, as it can be easily predicted. But regardless, this game is a recommended game for RPG players.
9. Resonance of Fate - A game that has intense battles like Star Ocean games. I have good reviews about the game, and most of them said it is better than Star Ocean: The Last Hope. The game will be released on March 9 this year.
There are still more games that I will recommend since I had a PS3 a while ago, but since you like horror and RPG games, this is the list of games that I think you should get for now.