Favorite Horror RPG.
Hands down this one would be World of Darkness. When you open the main book for the first time you are immediately thrown into stories written by different authors. All of them with enough hint in reality that you really feel he desired effects of the writers. You are slammed with ideas for a story you want to tell.
In the World of Darkness books the world is the same as today only, instead of the alleyway simply being dark and scary. The alleyway looks as though light is slowly being sucked inside only to disappear past an unseen barrier, you feel a cold hand reaching up your spine while you try and imagine yourself walking into the alleyway. (Unknown to the characters a ghoul lies waiting just inside for its next victim.)
The storyteller can create any story they want and really run with it. The game has a lot of fun mechanics making it perfect for people who want to spend a lot more focus on the story rather than rules.