@Nakewameke not exactly what I am looking for. While I like everything you said, what I am more looking for are things a bit like SCP or some creepy pasta (like "I'm a Search and Rescue Officer for the US Forest Service, I have some stories to tell"): You have an anomaly defying common sense. This anomaly has rules you need to follow to be safe. You don't know the rules and must discover them. (The game "Lobotomy corporation" is like that). The first season of Stargate was also a bit like that: they arrived each time in a new world that functioned differently and they needed to understand what could be done to be safe.
Stalker, Metro, dark city, Blame, Jigokuraku, Souboutei Must Be Destroyed : they have dark atmosphere but there is not much of "rules discovering", there are very few rules
Teleport girl Yumi: While she teleports in a lot of space and is sometimes confronted to supernatural, again, there is not really rules to discover
Cube 1 and 2: it's more about puzzle than rules, it's just a serie of trials
House Of Leaves: It has a bit of what I am looking for (And at the same times, it's very close to some creepy pasta)