Seeing how you rated Key's anime so highly (Angel Beats, Clannad), why don't you try Planetarian? Swan Song is also a great game.
Might also want to check out Sekien no Inganock or Saya no Uta.
I'd also personally go against the Muv Luv suggestion. It's a very, very long read and you'll essentially be forced to pass through an entire game of nothing before checking out the sequel (which is the only redeeming part of the series). While Muv Luv Alter is amazing, it's not worth to force you to go through Muv Luv as your first VN just because of it. Check it out in the future if you like mechs and have a few titles under your belt, though.
Also, check out my 50 translated VNs you should read before you die thread- the link is in my sig. Who knows, maybe you'll find something you like.
For Horror, a personal recommendation of mine would be Phenomeno. There's not much in terms of romance there, but it's just a few hours long and I'd say it's the best translated title we have when it comes to horror. I'd highly recommend anyone who hasn't read it to try it out.