I feel like there are the games we call horror games, and the games that are truly horror games. People call Mage: the Ascension a horror game, because it’s a cousin of Vampire: the Masquerade and it has themes of the consequences of hubris, a la Frankenstein. And then we have the personal horror of Vampire itself, where the player’s character is the source of repugnance. Beyond that is the cosmic horror of Call of Cthulhu, in which characters discover the full dimensions of their insignificance in comparison to the true powers of the cosmos.
Which of those we find truly horrifying depends on the person. I have a friend who maintains Lovecraft’s conception of the universe is not horrifying, because as of the 21st century, we have assimilated what his characters dreaded to be the case as reality. It can’t be horrifying because it’s not unknown. My point of dissent with her argument is that regardless of what we think we know, there’s always a bigger issue, a bigger shell around what we know, that we don’t know. And the contents of that bigger shell are still unknown and still horrifying.
What that has to say about my favorite horror role-playing game is left as an exercise for the reader. If you’ve been reading Held Action for a while, you can probably figure it out.