A few months ago I ran a FATE game using the A/State setting. The setting itself- a sort of blend between Blade runner, City of God and Dark City- lends itself precisely to this sort of horror. I really wanted to capture the bleakness and inherent horror of the setting, so I pushed forward a lot of 'mundane horror' elements using real-life nightmare stories as examples. The best (or worst) of these was the adventure 'Suffer the little children' which I used to really explore the grim implications of child trafficking. The players were hired by a macrocorp rep to 'rescue' a child that had been kidnapped from a lab and then accidentally sold on to regular slavers. I drew on half a dozen stories of real-life incidences and urban legends for the adventure, which included:
* The players breaking into a slaver fort, built in a deralict school, after buying off a pack of feral hobos (similar to the enemies of 'Condemned'-criminal origins). The children were being kept in a completely dark storeroom and were intensely traumatised, showing signs (thankfully not descibed in detail) of severe physical abuse. The child they were looking for was not there, but they managed to obtain a log-book detailing the slaver's customers; these included 'Shaft 9, Deeps', the 'Little Lady Gentleman's club' and 'GeneBlue vitality spa- donor ward'. The list was hundreds of pages long. The child itself was sent to 'Greygate orphanage and school'.
* Greygate turned out to be school for children meant to be menal workers at the nearby Macrocorp center, staffed by sociopaths and worse. One of the characters managed to infiltrate the school, and found it a cross between the Ministry of Love in 1984 and a kindergarten. Isolation cells were covered in nightmarish imagery to terrify and break down the will of troublemakers. Parents caught attempting to rescue their child were killed in front of them to utterly break any hope of escape. Any repeat offenders were sent into a pit- made to look like the mouth of a terrifying monster- where 'The Spider King' would eat them. (The spider-king was a supernatural element, as it was an Ogre-like creature; I decided to keep it in since by that stage, the players wanted something to fight).
This was pretty much the worst of the non-supernatural horror elements in the game- other examples included a drug that made people psycotic for short periods of time (a loving father killed his family under the influence- the players had to deal with his disbelief in what he had done) genetically-enhanced soldiers who needed to feed on a pituitary gland to survive, and occasional moments of random, senseless violence, like a information-gathering scene in a cafe that was interrupted by an anarchist suicide bomber. There was also a helpful, polite manager who worked for a factory that more or less supported the economy of the player's borough...said factory was a 'Soylent Green' esque production plant, and he gave the player's reward as a month's worth of food. Which they then ate.
In the end, I discontinued the series- one of the players found it so utterly grim that his enthusiasm simply stopped. I gave all assembled a happy ending (they escaped the setting to somewhere vague but clearly better than where they were).