I think the deadliness of Call of Cthulhu is often overstated. In the last BRP CoC campaign I played in, we weren't overly scared of getting into firefights with thugs and cultists. The Mythos itself was creepy, but even the dimensional shambler we faced in the first session went down like a chump, when you really get down to it.
Meanwhile, especially for folks who have played in some of the older editions of D&D, I think the deadliness of D&D to PCs is often understated. We used to blow through PCs like it weren't no thang.
So why is one a horror game and the other not? Clearly the amount of PC death and dismemberment isn't the primary variable in how faithfully the game mirrors the conventions fo the horror genre.
Rather, I think the numero uno variable is the expectations that the players bring to the table. If they show up knowing that they're playing Cthulhu, then it's a horror game, regardless of what actually happens at the table. If they show up knowing that they're playing D&D, then it's an adventure sword & sorcery game, no matter how many PCs get gobbled up by the dungeon or whatever.
The specific challenge I'm posing, then, is to play D&D (well, E6 really, but close enough) yet convince my players that regardless of the rules and setting, they're really playing CoC.