The adaptation of Poe's
The Pit and the Pendulum (1961) is set in a castle. Pretty good, not totally loyal to the story, but that would be hard to achieve in film.
Obviously Rocky Horror, if you consider that a horror. And Nosferatu (and many other old-school vampire films!). Plus, some of
The Fearless Vampire Killers (a brilliant horror/comedy) is also filmed in a castle.