You know, I don’t think I’ve ever played one of these either. It’s ironic really that I tend to find my favourite genres are sci-fi and horror (and the intersection thereof), yet I’ve never played either, at least not a ‘pure’ version of either, or for very long.
I mean, I’ve played games like Vampire: the Masquerade and various other games from White Wolf that purport to be horror in some aspect, but the actual play has rarely been ‘horror’-y and more just ‘supernatural action’. They’ve just been standard contemporary games with a supernatural twist and I’ve rarely really felt what I’d call horror from them.
The only exception to this is the pre-cursor to a game of Werewolf: the Apocalypse we played (which lead me to discover I have no love whatsoever for the WtA lore, themes or roleplay). This precursor (which would decide the game we’d later be playing, be it mage, vampire, werewolf, changeling, etc) was Innocents - playing as children in the World of Darkness. There were some genuine moments of tension and darkness in that precursor game that would definitely qualify as horror and quite enjoyed it. It’s a shame we ended up as werewolves because I really just didn’t enjoy Werewolf: the Apocalypse at all.
If we count games I haven’t actually played, Dread look like a firm contender for my favourite. I love the block tower as a resolution mechanic, it’s a perfect emulator of the tension build up in actual horror, so sounds really fun. Watching Dread being played on Tabletop recently, my thoughts on it were pretty much confirmed and I’d love to play it. Sadly since it requires a physical block tower, I’m not sure how it could be translated to online play and I doubt I’ll ever get to play it in real life.