There are two types of horror.
Internal
External
These three types I think are all named became of the story.
Internal is a driven force from inside the main or other characters. The story fallows a single or small amount of characters who fight against there own madness. This may present it self in a number of ways.
It could be that the character is fighting against some larger than life evil but is also fighting to keep his sanity. A internal source drives him to the break causing him to become evil or making him venerable to the true evil
External- It is the exact opposite of internal only in this case the Main character is fighting against a outside force