Simplified rules and setting bound so tightly to its core horror concept that the entirety of play is a race powered by only the best Nightmare Fuel. The Nightmares you face are bizarre and creepy in the most disturbing of ways, the locals aren't much better, and your own powers can easily be worst of all. The fact that something as simple as trading often means giving up memories or years off your life doesn't help.
Nor does the fact that the default losing conditions of the game are not death, but the far worse fates of collapsing (letting the Nightmares get to you) or going so far over the deep end of insane you become a Nightmare.
Kind of expected when the antagonists are Nightmares.
The supplemental book Don't Lose Your Mind, which covers Madness abilities in-depth, is predictably made of this.
Everything from the setting, to the concept, to the protagonists' powers, to, most especially, the Nightmares is horrifying in precisely the right twisted way.
Given how humorous some of the concepts sound before you stop and think about it (a cop with a clock for a head? Paper boys made of paper?) they might almost be mistaken for Nightmare Fuel.
Best of all the game encourages, if not necessitates, the creation of more Nightmare Fuel by the players, making them realize just how twisted their minds really are.
The Tacks Man. He pins you down and steals pieces of your existence!
“He came at me, those pinpoint fingers of his screeching along the slate walls. I had to get away. Last time we met, he took my heartbeat. This time, he was after my name.”