"Horror is not a genre, like the mystery, or science fiction, or the western. It is not a kind of fiction meant to be confined to the ghetto of a special shelf in libraries or book stores. Horror is an emotion." -- Douglas E. Winter
Let's think about this:
If "[h]orror is an emotion," "not a genre,"...
Hm. I've heard that gothic, or dark, fantasy is a story of what cannot happen, and horror is a story of what can. "Gothic" is generally preferred over "dark," as the idea that "dark equals bad" has a sort of negative racial connotation, which may well be in the literal literary roots, though the optimist in me hopes we're at the point where the reference reflects simply night settings.
In any case, I'm leaning toward "gothic fantasy," just because it sounds so elegant.
I got that Winter quote, by the way, from the Horror Writers Association; it's on their T-shirt. I'm thinking about ordering a couple just for fun. However, for the record, I don't think that mysteries, sci fi, or westerns should be ghettoized either. Sigh.