I thought it was very creepy, but then I've always found something creepy about that dark-themed art deco that the game uses liberally. It's just a place that would be alright if it were well populated and friendly, a bit creepy when empty and dark... and downright terrifying place to be when falling apart and gone to hell..
I love the game. But there are definitely better games out there for more of a horror experience. Theres more of the surprise element here. But what it does do is unnerve you sometimes, and give you set-pieces that really creep you out.
But you always feel safe, ultimately since you have a ton of guns and, essentially, superpowers