I agree that horror is the purview of the DM as drowbane said, but I do think the game system actually can help or hinder this.
In my experience if I make players suffer a fear/horror effect players have been known to argue that there's nothing in the rules that states it - and it goes back to me arguing DM's golden rule. Having a system that caters for this and backs you helps a lot.
I love the Ravenloft setting, and the fact the whole setting is dark and gloomy is great, so I definately recommend it. However the d20 Call of Cthulhu is also very good and dark. The White Wolf World of Darkness series are wonderful (but not d20).
But at the end of the day if a DM's idea of horror is just "there's a werewolf, kill it" then it won't be very frightening. Last session I had the players walk into their home village and it's become a bit of a ghost town, with belladonna placed on every door, and the houses of some npcs they'd met were broken open with signs of vicious struggle and gore. They never found any bodies, but they became very horrified about the deaths of old contacts and it made it more impacting than being told "there's a werewolf in town and it killed the blacksmith."
The Ravenloft Dungeon Master's Guide has some good hints and tips on carrying out a good horror campaign.
And I agree with Drowbane, reading up classic horror or (if you're lazy like me) watching Bram Stoker's Dracula, Mary Shelley's Frankenstein and similar classic horror films are very good inspiration!