Thriller/Horror games

Call of Cthulhu 

In Call of Cthulhu the players take the roles of ordinary people drawn into the realm of the mysterious: detectives, criminals, scholars, artists, war veterans, etc.

Often, scenarios begin innocently enough, until more and more of the workings behind the scenes are revealed. As the characters learn more of the true horrors of the world and the irrelevance of humanity, their sanity (represented by "Sanity Points", abbreviated SAN) inevitably withers away. The game includes a mechanism for determining how damaged a character's sanity is at any given point; encountering the horrific beings usually triggers a loss of SAN points. To gain the tools they need to defeat the horrors – mystic knowledge and magic – the characters may end up losing some of their sanity, though other means such as pure firepower or simply outsmarting one's opponents also exist.

Call of Cthulhu has a reputation as a game in which it is quite common for a player character to die in gruesome circumstances or end up in a mental institution. Eventual triumph of the players is not assumed.

Cthulhu By Gaslight is set in the 1890s and submerges the players in the Victorian Horror genre.

Deadlands

Deadlands is a genre-mixing alternate history role-playing game which combines the Western and horror genres, with some steampunk elements 

In this award-winning, best-selling setting, gunfighters, braves, hucksters, martial artists, shamans, mad scientists, the blessed, and more square off against far more than desperate bandits. 

The game is set in the United States in the last quarter of the 19th century. The canonical year for the first edition of Deadlands is 1876. A later supplement, Tales o' Terror, advances the game's backstory and metaplot ahead one year, to 1877. The second edition of Deadlands uses the updated backstory of 1877 as the canonical starting point. Deadlands: Reloaded further updates the backstory and advances the canonical starting point to 1879.

The basic rules provide for characters and settings that could be expected to appear in the "Wild West" genre of movies and pulp fiction, and most of the in-game action is presumed to occur in the wild frontiers of the American West, or in barely tamed frontier towns like Tombstone, Arizona or Dodge City, Kansas. However, later supplements expanded the in-game adventuring area to include places such as the Deep South, the Mississippi River, Mexico, and the Northeastern United States. These supplements often provide for adventures set in urban areas such as New Orleans, New York City, or Boston.

The canonical, basic setting is referred to as the "Weird West" due to the juxtaposition of the Western setting with the horrific and fantastical elements of the game. The history of the Weird West is identical to real-world history, up until July 3, 1863. On this date in the game, a group of American Indians from various tribes, led by a Sioux shaman known as "Raven," performed a ritual in an effort to drive out the European settlers. This ritual created a conduit to a spiritual realm populated by powerful malicious entities known as the "Reckoners." The events surrounding and immediately subsequent to Raven's ritual is known as "The Reckoning."