What about "Horror" in Amnesia?

[Akong]

I think a modern setting would be the easiest setting to make a horror game in, that's not to say it would be the best.

Modern settings are scarier because you don't expect monsters. Almost every medieval setting features monsters, because the medieval times are basically copyright of Dungeons & Dragons/Tolkien type media.

Sci-fi games can be extremely scary, though, as evidenced by System Shock, which is still lauded as one of the finest horror/shooter games of all time.

I'm very much looking forward to Amnesia's setting, being something that isn't often used in games (To my knowledge) and could pose an interesting challenge for the team.