This will surprise no one. My favorite horror roleplaying game is Vampire: The Masquerade. I’m not a fan of horror in any form, as much as I may have enjoyed the couple of Call of Cthulhu games I’ve played in the past.
Vampire is different. It is personal. It is internal. It is about the horror of what you become when you let yourself go. It is about letting go.
I’m going to cheat here. A few years back I wrote a post titled Why I Love Thee, Vampire: The Masquerade, and you should just read that to know why this is my favorite horror roleplaying game.