OK, as a World of Darkness junkie, guess what I'll suggest. No? Well, do I have to spell it out - I suggest Call of Cthulhu. Also World of Darkness. It depends on what you're after. CoC has a very lovecraftian feel, as you can guess and, well, other people would be talking more about it, besides I don't have too much experience.
So instead, I'll focus on WoD. Now, WoD is a really wide ranged - Wraith fits in there but also Vampire, Werewolf, Mage, Hunter, and so on. To top it off, most gamelines come in two flavours - new and old (old WoD blew up and was rebooted into the new) which means some minor differences in the flavour. But each gameline feels different to the others, while still being set in the same world. You could even just play a normal mortal for that helplessness feel. The question is: what exactly are you looking for in a game?
Since you mentioned
Wraith, that gives me something to work with. See, Wraith is probably the bleakest and most depressing gameline overall - you are dead from the beginning, after all, and things only get worse. The game really isn't any sort of heroic fantasy where you conquer the evil and save the day, it's about a more personal kind of tragedy[footnote]Although, to be fair, the Doomslayers supplement does turn it into a more "typical" fantasy. It's not bad, mind you.[/footnote] I don't know if it really tickles your fancy but it can really be an enjoyable game, provided you find a group to play. I think Wraith is still pretty popular, so it shouldn't be a huge problem. To play it, you'd need the Wraith: the Oblivion core rulebook [http://rpg.drivethrustuff.com/product/351/Wraith-the-Oblivion-%282nd-Edition%29?it=1] (you might also find a hard copy somewhere).
I'll do a quick rundown of the other gamelines and separate them into new and old sections for convenience
oWoD
Vampire: the Masquerad - you may know it from Bloodlines, and it's a pretty cool game, especially if you want to play a vampire. Trouble is, finding a more horror focused game - some are more political, others focus on other aspects, still horror should be underlying somewhere. Fortunately, it's still very popular, so you shouldn't have a big trouble finding games. I'd recommend picking up the Vampire the Masquerade 20th Anniversary Edition (a.k.a. V20) - it's probably the best WoD book ever (for now) and has all the information you need in a convenient place.
Werewolf: the Apocalypse - if you want something more action packed, I'd recommend it. Aside from the fact that you're playing a shapeshifter, you are fighting to stop that apocalypse in the subtitle. The trouble is, that you are fighting a losing battle only trying to delay the inevitable. It's mostly guerilla tactics against foes more numerous than you know and horrors beyond mortal reason. After all, the werewolves fighting literally the embodiment of destruction and corruption and its minions. However, if I were you, I would wait until October to straight get W20, since judging by Vampire, it would be totally kickass.
Mage: the Ascension - this game has a very wide range of play stiles. Some of them focus on horror, some don't. I don't know if you'd like it based on that. But I can tell you that the magic system is amazingly flexible and fulfilling. This is my favourite gameline ever, based on that, and the fact that as horrible as the world is, you can at least do something about it.
Hunter: the Reckoning - although it may play as "kill the monster of the week", it should be more of a horror than that. Basically, the player characters are ordinary folk - taxi drivers, clerks, cashiers, etc, who were suddenly shown that real monsters (vampires, werewolves, etc) not only exist, but they prey upon humanity. And from that point on, the PCs lives are never the same and thy are constantly pushed to do something about this inhuman menace.
Demon: the Fallen - I'll put it this way - you are playing fallen angels who just escaped from hell and now must face other of their brethren who have been out for centuries and are, for all intents and purposes, eldritch abominations with massive corrupt cults around themselves. It's pretty much Lovecraft but the PCs don't need to die horribly (right away).
nWoD
World of Darkness - it allows you to play a mortal character and face whatever the Storyteller throws at you. It gets a honourable mention, since you need that book to play any of the others.
Vampire: the Requiem - pretty much take what I said about VtM here. Also, no trouble finding games.
Werewolf: the Forsaken - similar to WtA but a slightly different tone - the werewolves are not losing the battle but they aren't going anywhere, either. And there isn't the end of the world looming over. Horrific things still occur on a regular basis.
Mage: the Awakening - well somewhat different to MtAs. Really shortly - in the days of old the mages became too proud and tried to reach the heavens. Think DA:O. But a catastrophe struck, and some made it, while others were trapped on earth. The ones who made it out now don't want to share anything with the rest, so they locked the entire world into a false reality. Also, due to the nature of the catastrophe, the magic became somewhat unreliable and downright dangerous. Other than that, the magic system is still pretty awesome.
Hunter: the Vigil - now, this has more horror in it. In the other games, the characters have some kind of an edge over the rest of humanity, including in HtR, where the hunters could do some pretty wicked stuff and just see monsters whenever they want to. In HtV, however, you are just playing a random shmo who is trying to keep inhuman monsters from eating him and he's armed with pretty much a pointy stick. No fancy powers, no extra abilities, damn, some don't even know what and how are they supposed to be killing. Well, it should be noted that Tier 3 hunters do have some fancy stuff. Not a lot, but at least they aren't totally helpless on their own.
Changeling: the Lost - I take my words back, this has horror in it. From the get go, your character was kidnapped by the Fae, then went through physical and/or mental torture, abuse, slavery and/or rape but somehow managed to escape. And then they find out that the experience changed them into something not quite human. Oh, and apparently a doppleganger was left in their place to live their life so nobody would miss them. So now, the changelings try to find their own place in the world and maybe try to reclaim their life back, or at least a life. And by the way, the thing that kidnapped them is looking to get his possessions back. I'd recommend this gameline if you want lots of horror. The fae are, after all, inhuman eldritch monstrosities at least in thinking if not looks.
Honourable mentions - Slasher introduces serial killers from slasher flicks; Proverbial Monsters and Antagonists add, well, antagonists for any game; Immortals adds rules for immortal beings - be they body jumping, reincarnating, or bathing in blood; Inferno takes a closer look at hell and some demons, also allows you to play a Possessed - a guy (or a girl) who has a demon inside.