We generally did not play this game as real horror, our sessions tended more towards campy action. I think this was mostly driven by the artwork in the books, which had a very pulpy feel to them. The game hardly qualifies as horror from a thematic standpoint.
I did run one adventure that legitimately creeped out two of my players, to the point where they still bring it up today, 20 years later. In the first several sessions they tracked down some monster and killed it. They spent the rest of the campaign being stalked by its crawling, severed hand. I am not sure why that was so disturbing, but it was.
So, by default, Bloodshadows is my favorite horror RPG.