Call of Cthulhu is one of the oldest games out there; it may be the oldest horror RPG currently published. It has an incredibly loyal following, and understandably so. Properly run, it is eerie, disturbing, and inspires a deep-seated desire to turn as many lights on as can be found.
Set in the 1920's, CoC involves the player characters as (sometimes unwilling) investigators of the supernatural. Frequently these investigations reveal enormous, barely-comprehensible conspiracies wrapped around ancient beings of incredible power and horrific evil. These beings (from the writings and deranged imagination of H.P. Lovecraft, whose short story The Call of Cthulhu is, obviously, the source of the game's name) are often referred to as the Old Ones or the Great Old Ones or the like; as far as I can tell they are a bunch of hideous, warped, ugly bastards who used to rule the world until they were imprisoned.
I don't know who imprisoned them, I don't know when, I don't know why. The main fun of CoC comes from the sheer unreasoning terror you feel when you roleplay an ordinary person in the 1920s who has absolutely no idea what's going on. What's worse, you can't ever win. Call of Cthulhu has Sanity rules. Whenever you see something horrifying (I mean, even a dismembered human corpse, something which characters in other games practically ignore), you make a Sanity Check, and may lose Sanity points. If you meet any creatures, you'll be lucky to get away sane, much less alive. If you decide you want to study some of the evil texts (usually written in Sumerian or something equally incomprehensible, and written by a madman) that you find, well, you may learn some magics (useful things like Summon Hideous Worm-Faced Minion without Exert Control Over Hideous Worm-Faced Minion), but you'll probably lose Sanity points, too. Your best bet in almost any encounter is to just run the hell away.
This does not sound like fun to many gamers, but it has the same appeal of a good frightening horror movie. Running away and hoping you don't get munched inspires the same vicarious thrill that pulping those orcs can often generate. Really. Try it some time.