One thing I've come to notice is that there aren't many players who come to roleplay horror. Generally, they come for wish-fulfillment, for empowerment, for a sense they are making a difference, or simply explore what it's like to be in another person's psyche. Sometimes they even come to roleplaying games to switch their minds off after a hard day at work.
These motives can run contrary to the desire to play a vulnerable person who is slowly (or abruptly) being traumatised by a changing world that cannot be controlled where the best they can hope for is a return to the status quo. Even those who simply wish to explore another's mind may not enjoy exploring the mind of a person who's sanity is slowly being reduced to a burning wreckage.
I get around it somewhat by playing with the Hope and Horror aspects of the horror genre. I tone down the relentless nihilism of the World of Darkness where everyone is a bad person and I introduce them to good people who are trying to make a difference - and even succeeding! I give them a chance to make an impact - to be heroes - even if they have to suffer first. I also tend to situate true horror scenarios where they are vulnerable victims of circumstances beyond their control within a greater campaign framework of heroism and success. This gives the horror scenarios greater contrast, gives them greater attachment to their characters and to NPCs, and keeps them from burning out.
But still it remains apparent to me that I don't have any full on 'horror' players in any of my tabletop games. Some enjoy tragedy and others adore darker themes, but none of them seem to come to game looking to get scared - at least, not on a regular basis. I could be wrong (I so often am) but that's how it appears to me.
It's fine by me, in truth, because they're open to the genre enough for me to get my horror jollies while still forcing me to expand my range. I find, though, that it's worth keeping in my mind the reasons why most of my players attend games so that I don't get frustrated if a player keeps breaking the tension or another player tries an action movie response to a clearly horror movie monster. They don't always do this, but the more a campaign turns toward horror, the more likely these antics become.
So remember when this happens to you in your preferred genre. It's not players being bad or inconsiderate people. It's just players trying to get back to what they enjoy most about the campaign. We would do the same.
The trick I've found is to clearly signpost in game that this is a horror scenario and allow it to remain an enclosed game. That way the players can relax into it while knowing that their favourite aspects of the game will return soon. Do you have any tricks to the trade?