I think what makes it so effective is that we get a double perspective. On one hand the scholars that dig up her story are just as clueless as we are, but at the same time the innocent little girl could be the real expert as the story makes it ambiguous if it's just her active imagination or if she's really part of a abomination-worshiping cult.
It's also interesting to get cosmic horror from a character who's not a learned scholar which gives the horror more surprise when it happens.
Post Scientific Revolution Fantasy.
In other words, a fantasy world that's actually advanced on a technological and social scale—alternative forms of government, improved standards of living, the works.
And I don't mean modern or urban fantasy, before anyone mentions it—those are usually our world, only with magic and whatnot added (Usually hiding behind a Masquerade.) What I mean is a world that naturally developed, and with the fantasy elements deeply ingrained within it's culture. Congressmen arguing over Orc/Human marriage. Physicists unifying quantum mechanics and general relativity through the inclusion of magic. Escapist fiction. Those sorts of things.
(Actually, any form of non-Tolkien fantasy would be a nice change, but I digress.)
Fire, air, water, earth...legend has it that when these four elements are gathered, they will form the fifth element...boron.All my current fantasy world projects are just before, or after industrialization.
My main project is a bit like real life in that different parts of the globe have different tech levels. Though it's muddied by the fact that it takes place after an apocalypse with the previous civilization having science fiction levels of fantasy tech and spellcraft, with the more advanced countries managing to retain artifacts and bits of instructions on how to make some of the old weapons. Complicating the matter is that the rest of the world's slowly rebuilding with the recent discovery of guns and flamethrowers. Roughly 17th century level tech. However, even the lower-level countries are slowly getting blueprints with the use of spies and covert operations so they can skip huge chunks of technological development if their lucky enough to reverse-engineer them.
Sorry, that's in-progress work, doesn't really count.
The Mistborn series is heading towards this. Well, it's pretty much there already what with Alloy Of Law being set in the 1900-equivalent of that world.
Beat me to it. :P
Also, the Myst books.
ERROR: The current state of the world is unacceptable. Save anyway? YES/NOIn a similar vein I never saw a book series that combined a Modern Military Setting with Fantasy. Until I read Shadow Ops which is written by an actual Soldier and a Geek so realistic military tactics and magic goodness abound
Stand Fast, Stand Strong, Stand Together

You and I both! That story is incredibly disturbing.
I'll hide your name inside a word and paint your eyes with false perception.