Horror is a cereberal reaction, it is rooted in helplessness and powerlessness to alter a hazardous situation. This compares to terror which is the gut reation, fight or flight. You can run away from T-rex, or if you have a big enough gun, you can bring him down for Ultra-Game Hunter magazine. You cant run away from Nyarlathotep, the crawling chaos. You cant kill Chthulu with a gun no matter how good your aim is.