Since the horror genre is defined as a story with no way out, the first characteristic of horror that pops to mind is probably its scariness.
This scariness can manifest itself in a variety of ways. Horror likes to use creepy situations, like the haunted house. It often has terrifying characters; think Dracula and Hannible Lector. Horror can also prey on
our fears through graphic and gory violence and the use of dark supernatural
elements (e.g. ghosts, zombies, demons).
Whichever means horror uses to scare us, you can be certain this genre will
play mind games with you. And if this wasn't bad enough, the protagonist may
die in the end, failing to escape the terrifying situation.