I'm a ChanYeol's trash and i used to like BaekHyun so all I have is fanfics about them XD Hope you don't mind (and most of them is romance and oc story)

http://www.asianfanfics.com/story/view/185266/the-contract-romance-exo-exok-baekhyun
(My first ever fanfic! Really jjang!)

http://www.asianfanfics.com/story/view/373319/cupid-s-match-romance-exo-exok-chanyeol
(A very beautiful fanfic! The plot is very interesting! I VERY RECOMMEND THIS!)

http://www.asianfanfics.com/story/view/200559/seducing-nerdy-chanyeol-comedy-romance-schoollife-you-exo-kai-chanyeol
(My favourite fanfic! Read it for three times already but I still cry tho)

http://www.asianfanfics.com/story/view/971356/forgetting-park-chanyeol-angst-romance-schoollife-exo-humor-chanyeol-dirty
(I love this one too!)

All of these fanfics are completed!

http://girlexochange.livejournal.com/16922.html
(It says genre; fantasy but it's a good fic. Also fem!exo, so maybe not your cup of tea but uwu)

http://firstinvasion.livejournal.com/4513.html
(Jongtae, SHINee. Not /really/ horror but oh well - it's cannibalism)

http://shineebigbang.livejournal.com/51229.html
(Jongyu, SHINee. Idk the genre, but it's one of the darker ones overall without the incorporation of mental disorders...)

http://shineebigbang.livejournal.com/51957.html
(Jongkey, SHINee. Not really horror or thriller either, but definitely very well-written!)

http://shineebigbang.livejournal.com/48189.html
(Ontae, SHINee. Again, not really horror or thriller, but it has a plot twist that is absolutely amazing and it's dark too.)