Like the others, horror is about 80% due to your DMing style, and keeping the atmosphere of the game tense and mysterious. Never fully let the PCs know what they are dealing with, don't let them see it in direct light, and NEVER let them know the stats. Horror relies on uncertainty, isolation, and fear, and its much harder to fear something you know completely about than the unknown.
I ran a horror D&D campaign for a number of years, and one thing I did during that time was to keep all stats secret from the PCs.
This really is the best way to present and play a horror game, and even non-horror games can be made quite a bit more engrossing with the use of such methods.I do exactly the same thing. I try to avoid saying "you see a werewolf" and instead describe it as a large, slathering beast - which could also be a wolfwere, werewolf lord, gnoll or ogre (system-dependent). Though my players know their stats, I track all damage (and damage rolls) so the only think they get is "the beast slashes you across the ches, and the pain nearly overcomes you... you feel woozy and are having trouble standing" (0 hp). This stops the players metagaming "I can take x more hits at this rate" and adds to the feel. The players love it too, so that's a good recommendation which I second.
I try to do the same, I've got markers for half hp and quarter hp and players get used to recognising the symptoms as a gauge of how they're doing. I do try to describe similarly with the antagonists. If the players knowhow many hp the villain has they tend to (imo) metagame, but when they don't know then they think twice about picking fights.Granted, the DM often gave more of a clue as to how low the PC's hp was. Most would actually state any hp lost to the PC, while another would give clues in gradation: sort of like the 'bloddied' situation used in 4e, except that he used 3/4, 1/2, & 1/4, and had another level for 'within 10 pts of 0' if a 1/4 hp would be more than 15 pts from zero.
Horror is in the DM, not the mechanics.
I disagree; depending on what you want them for there are some interesting mechanics. The BRP Sanity system works fine with no bells or whistles. It's not terribly interesting, basically just mental hit points.

(Dungeons & Dragons)
Rulebook featuring "high magic" options, including a host of new spells.