pretty neat idea. I like the concept, but it wasn't really scary...
Maybe make the game a lot darker and have the lantern as the main lightsource.
Also, the princess seemed to move quite randomly about the castle, which isn't a problem in it of itself, but losing track of her was more annoying rather than terrifying. Maybe adjust her behavior a bit, let her react to you collecting figurines and heading for your position, and maybe give her a bit more of a cue, more than just the alert sound when she's close, but give the player a way to notice if she's in the area or far away. Maybe that's what the wind sound is for but it played continuously for me.
I also ran into some stuttering, it seems, whenever the princess was close. It made it harder to escape from her or hide in a treasure chest, but not in a good way ;-P
As I said, though, neat idea and I'm going to keep an eye on this to see where this is going!