Whenever folk classify Castlevania, Devil May Cry, or Bloodrayne as "horror themed games" I get confused. Supernatural monsters all by themselves do not immediately equal horror. By that logic, the Twilight books are "horror themed" because they feature vampires. Kinda dumb.
Horror in games is about atmosphere and player agency. Games like Siren, Silent Hill, and Fatal Frame are definitely horror games because the player never feels safe: the mechanics allow you survive and progress but dont necessarily endow you with confidence or a feeling of mastery or power. The world in this kind of game is largely designed to accentuate that feeling of helplessness and discomfort. Contrast that with Devil May Cry, where you're an all powerful demon murdering machine that talks like a ninja turtle. You see the difference.
Back on topic, I'm going to try my best to finally play through Call of Cthulhu in PC. I've never been able to force my way through the third level.