From my experience with horror films they usually are set in a dark place, secluded from any real civilisation. There is usually one main villain, and several victims.
There are different types of horror, the generic axe murderer screaming girls in a haunted house e.g. Friday the 13th, there is also the more psychological thriller horror e.g. Gothika and the sci-fi horrors e.g. Alien and Alien vs Predator.