First I heard of the pen-and-paper RPG called "Call of Cthulhu", wondered where it came from, found the author started reading. When I started reading his work, I found that it creeped me out far more than other horror that I've read (Stephen King, Clive Barker, etc.), and that sense of creepiness is what drew me to it.
Check H.P. Lovecraft out, he rocks. For a lighthearted take on cthulhu-esque tales, check out the sci-fi works of Charles Stross.
he's definitely big on the mystery, and alot of his "horror" is paranoia in a hitchcock kinda way. Real moody too, like you know something is fixing to happen to the character(s), but he builds up the tension and then brings on the creepy.
If you have an antipathy for horror, you'd probably like the Stross books I recommended. The main character is a british clandestine officer for "the Laundry", and they have all manner of craziness that happens, techno-occult devices, etc. The author has other books but its of a different slant than "the laundry" series