So, I talked to Feed the Rapture about creating a series on Creepy RPGs, what she thought would suffice for creepy, being the creepy story blogger. Her idea was simple, focus on settings in the modern day, and settings that focus on cosmic horror. Stuff man cannot grasp, even when he's a demi-god meant to embody perfection. So, I started thinking about RPGs that fit, and I got a few that just don't work. So, instead of listing a million entries before getting to the good stuff, let's just use this one entry to explain why it would work, and why it wouldn't.
Cthulhu-Tech: It takes place in the far future, Cthulhu has mechs, the Mi-Go have giant bug mechs, shoggoths are hiding inside wizards, and we have mechs, too. It's Cthulhu in the future, with Zenntradi ripoffs. It works because good, old Cthulhu never gots old, but it doesn't work because, well, Tagers(Men that become monsters, think Guyver), mecha pilots, and Engel pilots(Evangelion). And, let's face it, that's what you're in the system for. Otherwise you'd just play Call of Cthulhu in the future.
Werewolf: The Forsaken: You're outcast werewolves who are supposed to fight invading spirits from the spirit world, and protect the world from it. Invading spirits, nice for cosmic type horror. Problem is, you're a Werewolf. You become a giant wolf beast monster man, and rip things to shreds. Obviously, this isn't the only type of werewolf game, but it is your best bet for supernatural horror. Also, when in the World of Darkness, if you include a Mage as an antagonist, you can up the creepy a lot.
Vampire: The Requiem: You're a vampire living in a vampire political court. Things can get creepy, but you've probably seen it all. As I remember, very few vampire clans involve themselves in the more cosmic horror stuff of the setting, even then there's that same problem with Werewolf. Being supernatural gives you enough of an edge that cosmic horrors don't phase you like they should. Tossing a Mage into the mix obviously changes everything, but that just adds points in favor of Mage.
Hunter: The Vigil: I don't hate World of Darkness. I just feel that for emphasizing roleplay over rollplay, they give you too many powers that can be used to make mincemeat out of anything scary. In Hunter you hunt supernatural things, at first using your own wits and a shotgun, eventually using special gadgets, artifacts, or mutations granted from the Conspiracy you might join. Sadly, this again translates into being able to shoot the Cthulhu dead. Mage once again will turn this inside out, but that's because Mage does that.
Geist: The Sin-Eaters: Geist has the potential for being creepy on a cosmic level. You're guys possessed by ghosts, guiding the ghosts back to the afterlife, which leaves room for all manner of dead-but-not type monsters. Sadly, Exalted does this and more with Abyssals. I give it an A for effort, but when you see Exalted's entry later on, you might understand why.
Shadow Run: It's possible, but only if nobody plays a magical character. Ever. Yeah, the cyborg troll is cowering in fear at the horror from beyond the stars, but the the wizard just conquered it and now has it as a pet until next week. It only works if nobody uses magic in the group.
Dark Heresy: Yes, you encounter daemons and beings from beyond the stars. It is supposed to be terrifying. But you know what's more terrifying? That Inquisitor guy, the one who flies you everywhere, pays your bills, trains you, and teaches you about the galaxy as a whole. That guy, who has stared Chaos in the face until Chaos blinked. I'd fight any number of daemons, before returning to the Inquisitor without having finished my job. When Cthulhu is less scary than a man with a big =][= on his chest...
Now, this is mostly me blowing my tastes around. I like what I like, and some things I think won't work if you're going for the cosmic kinda horror. Geist, Vampire, Werewolf, all good for something different. Geist is the horror about the finality of death, Vampire is about the horror that you can less and less hold on to your own life, Werewolf is about the horror of how you're suddenly a danger to everything around you. Hunter's about everything being out to get you, and you're humanity's last hope. Shadowrun is just 80's Cyberpunk Action Movie: THE RPG, well it can be. Dark Heresy can be as well, but usually the Inquisitor is the most terrifying figure you'll ever meet.
Next entry will be the honorable mentions. They don't make the main list, but deserve more representation than just "I don't like them for this sort of game."