We're All Helpless in Here

There's another tool, a very important one, to help create and enhance the horror in stories and games, and this is the power that differentiates the protagonist(s) from the monster(s). This difference in power make the protagonists helpless against the horrors and as such make them more vulnerable. This thing can, if done wrong, detract from the story due to frustration, but if done right can create horror almost all by itself.

There are a few ways to use this element. A few of the most common ways follow:

1. The monster can't be harmed by normal means. Guns don't a thing against it; swords go through it without damaging it and so on. This is the most common and easiest way to make the characters powerless, but it's also the easiest one to disuse.
2. The characters are (near) normal characters. The characters may be scholars, or cops, or something else, but a thing that is commonly found in the world. Normal people don't stand a chance against the horrors, and as such can be less powerful without detracting from the suspension of disbelief. This thing also carries a bonus treat: it's a lot easier to identify with an Average Joe than with Mega Wizard.
3. The adversary doesn't work alone. There's another layer, maybe even more, minions, henchmen and others. Maybe the Characters can defeat a wave, maybe even 2 if powerful enough, but the third will surely defeat them. The adversary is much more powerful if s/he has many powerful allies in his/her arsenal.
4. The adversary is much more powerful than the characters. Possibly as much of a classic as the first way, this way is the most straightforward way to making this thing happen.
5. The monster attacks when the characters are the most vulnerable. What's more terrifying, being attacked while on a patrol or when taking a shower?