I was talking to some friends the other day about Robert E. Howard's ventures into H.P. Lovecraft's Cthulhu mythos and how the majority of Howard's Mythos stories differ from HPL's. For the most part that can be summed up in a single word. Action.
If you've read a lot of Lovecraft you know that his protagonists tend to be fairly passive, more observers than participants in the plots, and that they generally come to a bad end either by going mad or by being messily devoured by some gibbering, slavering creature from the outer dark. Sometimes they go mad, THEN they get devoured.
In Howard's Mythos fiction, things tend to go along about like they do in Lovecraft until the last part of the story, when REH's protagonists decide to fight back. Often they kill the thing that would have messily devoured one of Lovecraft's heroes.
This is pretty much the way I approach horror fiction. Though I may write of terrible, horrible things that lurk in the darkness, Wade Griffin, Carter Decamp, Kharrn, or some other of my protagonists is generally going to engage the enemy with extreme prejudice. Like Jim Kirk, I don't believe in a no win scenario. There's a way to beat the monster. You just have to find it.
Not that some of my secondary characters don't suffer horrible fates. I've had a few characters get messily devoured. But usually they'll be avenged.