I don't have a favorite horror RPG. I have trouble with most of them. I do have favorite horror ST's though. Some people can pull off horror. I am not one of them. I game with so many smart alecks and jokesters it can be a bit of work on the GM's part to keep us involved.
I played old style Call of Cthulhu. I like being a hero enough this didn't apeal to me. You can't ever make a difference. You save a town here or burn a cult there but nothing you can ever do has an real lasting significance. I've enjoyed myself in some one shots and in the actual campaign, but it didn't last and I didn't want to play again.
SLA Industries - I really like this game. The rules are terrible in almost countless ways but I enjoy reading the book enough I'm always willing to play, despite that. I may not enjoy a long campaign but I've never been one to judge. To me a dozen sessions isn't a campaign and that's about the longest I've ever gotten to play.
Witchcraft - I think we tried to play a horror game with this rule system. It started off well and then real life grabbed the Storyteller and drug him away.