I have always thought Vampire: the Masquerade as a horror game, but obviously the horror is different than in Mythos as actually players are "the" horrors themselves.
What is this "horror" then. Well, game states it as a roleplaying game of personal horror, what means, that as players themselves are vampires, they aren't supposed to be fighting great 'ol ones or such matters. They are monsters themselves.
There comes the twist of personal horror. As you are vampire, you are doomed. You cannot see or enjoy daylight anymore. Day by day, decade by decade your life around you withers and crumbles until it dies away in history. There is always more powerful being than you who might use you to his own agendas or kill you if you're face isn't good enough for him.
Those upper are obvious "themes" on vampire, but still, that personal horror is quite hard thing to handle.
Personal horror can easily turn to be angst making those Camarilla vampires bitch about how dark and meaningless their life is when they struggle to maintain their humanity. But what if you are monster long lost human morality and are in Sabbat? What is your personal horror then? Fear of Gehenna? You are ferosious beast and battle is your glory so you ain't scaring those Cammy in the other side of the field, your pack-mates can do you even worse. Do you scare your own sect if you aren't loyal? Do you know anything about being scared or any feelings anyways? You are beast what follows some creepy path anyways.
Personal horror is really hard thing to take in your World of Darkness campaigns, but it makes game a bit deeper. Something more than just kickin' enemies butts with neat superpowers. Personal horror in other hand taken too far just makes game angsting of vampires own misery.
This is a hard thing to get in games. Personal horror. It must be player's own agenda to find it for his character, not Storytellers. Of course ST is the one who makes the game and setting happen, but player is the soul for the character.
Paint your nails black, turn off lights and lit up candles. It is time for a story of blood, passion, loss, frenzy...