much as i loathe koontz for his more recent shit...er, stuff.....er, no, shit, Twilight Eyes is in first, so is the entire Odd Thomas and Chris Snowe series.
Agyar hardly counts as horror but is first-person, by Brust.
Piccirilli wrote several first-person horror novels, including Every Shallow Cut (best) and A Lower Deep (also very, very good, good enough I gave my sole copy to someone I love very dearly), Matheson's I am Legend, and The Cormorant are all first person. Forgot Cormorant's author, sorry. Also, Bag of Bones by King, a sort of re-working of Rebecca and the novel that got me into writing in the first place.