Horror requires the protagonists to feel/appear helpless in the face of the opposition. That's harder to do with heroic fantasy, but not impossible.
Early D&D, toss in a creature only hurt by magic weapons before the party has any.
Make the victory theoretically possible, but at a cost the party is unwilling to pay - for example have a powerful demon possessing a innocent child. The party can 'win' by killing the child, but it's a step too far for the party to consider initially. Are the PCs willing to become monsters in order to stop one?
Make the opposition be covert and have a pattern, but a nonsensical/inobvious one. Exactly how are Farmer Bob, Maid Marion, and Jeweller Smith related that they all had an arm ripped off and placed where their heads were. And where are the heads now? Does it have something to do with their relationships? Was it hair colour? Because a PC or loved one has that hair colour...
Early D&D, toss in a creature only hurt by magic weapons before the party has any.
Make the victory theoretically possible, but at a cost the party is unwilling to pay - for example have a powerful demon possessing a innocent child. The party can 'win' by killing the child, but it's a step too far for the party to consider initially. Are the PCs willing to become monsters in order to stop one?
Make the opposition be covert and have a pattern, but a nonsensical/inobvious one. Exactly how are Farmer Bob, Maid Marion, and Jeweller Smith related that they all had an arm ripped off and placed where their heads were. And where are the heads now? Does it have something to do with their relationships? Was it hair colour? Because a PC or loved one has that hair colour...