Now, Cthulhu is an interesting game. I've had basically two kinds of experiences with it, and I think both are pretty typical. One type of experience is the one-shot. Held on gamedays, conventions, and just single-session one-offs, this is the deadly, meat-grinder type of Cthulhu that many people anticipate. There's usually a PC death or two, and many sanity episodes. At least one PC will be "lost" to sanity issues. A few PCs will manage to muddle through the scenario with some degree of success.
I've actually found that this type of game is inimical to terror, in most cases. Knowing that your character is, essentially, disposible, leads to wacky behavior. When a PC goes down, it's usually an occasion for a few laughs, not one of horror. It's a ton of fun, but in many ways, it's not what people think Cthulhu is about. The tone usually comes off completely wrong. Not necessarily; I've seen it played straight, but honestly, not very often. The environment doesn't really facilitate that kind of experience, unless all the players come to the table wanting that experience, and working hard to maintain that mood and tone.
The other type of Cthulhu game that I've seen is the long-term campaign. This plays quite differently, usually. In spite of the hype, character die and go insane pretty infrequently here. This is the type of game made famous by the scenarios published by Chaosium (and others): Beyond the Mountains of Madness, Masks of Nyarlathotep, Shadows of Yog-Sothoth, etc. Fantasy Flight's Nocturnum. The entire concept of the Delta Green sub-setting.
In these types of games, it is easier to get a feeling of horror. Your characters aren't meant to be disposible, but they are still relatively weak and fragile. Ironically, this type of game provides an environment in which the lurking, brooding horror of the game can best be made manifest, and yet it doesn't do so by ramping up the count of PC death and insanity. It does it slowly, and by whittling away the uncautious, the reckless and the unlucky. It's a game that fosters a gradually growing sense of paranoia amongst the players. But they get to maintain continuity. It's a fun game. Much more fun that the flash-bang one-shots that blow through PCs like so much chaff.
As I mentioned earlier, the challenge is getting everybody on board with that paradigm. Making the mental leap into a Cthulhu-like playstyle, even though you're using rules that appear to resemble D&D. If you don't have that, your efforts to get that kind of game will most likely be frustrating and disappointing. If players don't ever adopt the cautious, paranoid feel of a good Cthulhu campaign, then likely they'll just go through PCs quickly and either play it off for laughs, or get frustrated. It's a case of managing expectations, and is (in my experience) a little bit tricky to pull off.
Anyone have any experience in doing something like this? If so, I'm curious to hear how it's worked out for you.
The attached image is a very unusual representation of Cthulhu, which is part of the reason I like it so much more than the more "classic" images.