"What horror RPG have you enjoyed most? Why?"
Welp. This one's easy.
Was there ever any doubt? Call of Cthulhu has so much going for it, the classic 1920s setting, the rich mythos, the hopelessness of retaining sanity, the ineffectiveness of modern weapons...
Call of Cthulhu is horror gaming at its finest. Not terror gaming, because a lot of the goodness about CoC is the creeping factor of the scares. The really bad stuff is literally alien to us, defying standard comprehension, and I enjoy seeing how various Keepers try to bring that to the gaming table.
Characters play Investigators, their generic descriptor already setting them up as pre-determined to want to go into strange crypts and open musty tomes. Players in Call of Cthulhu don't get to take the safe route, because even if they've got all the genre savviness in the world, every created character in the game is predisposed to lemming their way into a shoggoth's mouth, and the only real question is how much ingenuity the players can bring to the table to delay that inevitable end, and for how many sessions.
The Sanity mechanic is where the system steps out ahead of its competitors in the horror gaming field. It's the great equalizer. I tend to look at it as a countdown. All RPGs tend to have, in some form or another, a hit point counter. Call of Cthulhu brings two to the gaming table. One for your body, one for your mind. Either runs out, and you're gone from the game; and similar to how some monsters in D&D can one-shot a character with a particularly powerful blow, the sanity losses for some entities in the mythos can also knock a character from play, leaving them a catatonic, drooling mess.
I could go on about Call of Cthulhu, but I won't, leaving this with the final statement that if you're looking to introduce someone to roleplaying and they aren't into Dungeons and Dragons, try getting them hooked with Call of Cthulhu. The mechanics are drastically different, the play style is likewise an almost complete reversal from heroic fantasy games, and the injection into the 'real world' makes it easier to just hop into a character and start scoping out haunted houses and basements.
Seriously, play this game.