What makes a great horror story?

Today I want to talk about a difficult question.
There is no one perfect element that makes a great story. It’s almost impossible to break this question down into just a few elements. There are lots of different elements that make a story a good horror story. Things like characters, are they believable? The setting, is it well thought out? Does the story tap into common fears? It is suspenseful? Is it predictable? Does it strike the right atmosphere?
There’s so much to consider that to do so in one go would be madness. So with that in mind, I’m breaking it down, today I want to talk about setting.
A well-crafted setting is crucial to a great story no matter the genre. In horror, in particular, you are likely to want your setting to be oppressive in and of itself. A strong setting will add a great deal of tension, atmosphere and challenge the protagonists in such a way that the characters develop and evolve compellingly and engagingly.
But how can we craft an engaging setting, a setting that oppresses the characters and adds to the tension of the story?