I think your approach to illustrating the setting is key to getting the atmosphere right. Dread and hopelessness is more easily conveyed in an apocalyptic wasteland than an urbane suburban neighbourhood, but both are perfectly valid. The reason being: it's all in the details.
McCarthy's 'The Road' is a great example:
"And on the far shore a creature that raised its dripping mouth from the rimstone pool and stared into the light with eyes dead white and sightless as the eggs of spiders. It swung its head low over the water as if to take the scent of what it could not see. Crouching there pale and naked and translucent, its alabaster bones cast up in shadow on the rocks behind it. Its bowels, its beating heart. The brain that pulsed in a dull glass bell. It swung its head from side to side and then gave out a low moan and turned and lurched away and loped soundlessly into the dark.
[...]
The boy turned in the blankets. Then he opened his eyes. Hi Papa, he said.
I'm right here.
I know."
You've probably noticed that the sentences are 'fragmentary', or tend to run-on. There's also a distinct disregard for punctuation when it comes to dialogue. The descriptions are repetitive - "it swung its head" - and this seems to jeopardise the writing by being distracting and monotonous. In most instances, this is indicative of trash writing. However, this book won the Pulitzer Prize in 2007, a year after it was published. It's been praised for being "trenchant and terrifying, written with stripped-down urgncy and fueled by the force of a universal nightmare. 'The Road would be pure misery if not for its stunning, savage beauty. [It] is an exquisitely bleak incantation - pure poetic brimstone" (The New York Times, 2006).
McCarthy does away with punctuation and grammatical conventions because it serves to push the image of a stark, bleak, unchanging and hopeless world. That micro attention to detail - sentence structure, word choice, rhythm - combined with his deliberately unorthodox writing style creates an atmosphere of monotony, subsistence and anarchy. It encourages us to forget about the arbitrary rules and focus on the 'big picture' - which is survival, staying dry and staying warm. Fitting for a story all about the breakdown of order. His book is, as a result, super depressing both in subject matter and atmosphere. I wouldn't recommended it for light reading, but if you're interested in post-apoc stuff.
The take away is, extra time should be spent on the micro to appropriately dress up the big ideas in your story. You don't need to go and break the rules as McCarthy has done. But, especially when it comes to horror, I think this will make or break it. All this isn't anything new, but there's a lot less leniency - having good ideas expressed ineffectually is particularly damning for this genre.
'Haunting horror', in terms of 'damn I can't sleep anymore' instead of 'eww that's pretty brutal', isn't restricted to psychological thrillers or Lovecraftian mind-blows. I think that's pretty obvious; a story about ghosts and demons can be just as harrowing as one about a stalker, when written with the purpose of targeting a specific fear (fear of unknown etc. etc.).
I like to see humour in my horror stories. Oh, and I like them scary.