This is a subject with which Your Obedient Serpent has some experience.
More often than not, if a group sits down to play a horror game, it doesn't quite click.
It's when horror elements crop up in other genres that you get that frisson of unease, the shivers up your spine, the hairs raising on your arm.
Stephen King knows why, and spells it out in his classic essay, "On Writing": the essence of horror is contrast. If you're expecting vampires or tentacles monstrosities, they won't hold quite the same terror as if you stumble upon them after a wrong turn in the dark.
Any game of mine that runs more than three sessions will eventually become a horror game, whether I want it to or not. The tropes are just too easy to tap. If I actually set out to run Call of Cthulhu or a game of that ilk, though, it would probably veer off into Monty Python Meets Scream territory.