The Fallout series has always had an intrinsic element of horror to it, even back during its isometric turn based phase in the 1990s. It's a world where mutated creatures roam the irradiated wastes unabated, humans are crammed into claustrophobic vaults where depraved experiments are conducted on them without their knowledge, and alien beings strafe the night sky, their motives unknown.
While Fallout can't really be considered a true horror game on their face, it still does a great job of eliciting a fair amount of stress, paranoia and existential dread when it chooses.This is particularly true when it comes to its background lore that can be discovered in-game, if it's not front and center already that is.
5 Vaults And Their Experiments
For those unaware, almost every vault in the Fallout series was designed to secretly test its occupants in some way via some sort of social experiment. For example, Vault 15's experiment was to see how people of diverse backgrounds and cultures would do in isolation, while Vault 34 experimented with a having a heavily armed populace. Many of the vaults subjected their inhabitants to much more heinous experiments after the bombs fell, however. Vault 87 saw its occupants forcibly exposed to the Forced Evolutionary Virus, turning them into Super Mutants. In Vault 11, its population was told that if they did not repeatedly elect a new overseer to be sacrificed that the entire vault would die, although the real experiment was in how long they would do this for before learning that it was all a lie.
Some vaults didn't have a specific experiment attached to them, however. Some of them merely served as control vaults, where the occupants were used as a point of comparison. In some cases, control vaults were intended to be used by the Enclave after the war. This was certainly the case for Vault 13.
4 Mystery Of The New Plague
While quite a bit is still known about Fallout's pre-war America, there are some aspects that still seem rather murky. The New Plague is one such element that is brought up multiple times but never given a lot of attention. What is known about it is that it swept across the U.S, to the point that it was forced to close its borders and institute a national lockdown. Symptoms included sweating, contusions, swelling, and finally, massive external hemorrhaging. It got so bad that the government began the Pan-Immunity Virion project, which eventually lead to the Forced Evolutionary Virus.
It's not currently known if the plague is still active in any region of the former U.S, however, many theories have been put forward.
Some have suggested that the Swampfolk in Fallout 3's Point Lookout DLC are survivors of the plague who've also undergone mutation. Another theory states that MacCready's son may have been infected with the New Plague, which explains his desire to search the Med-Tek research facility for a pre-war cure. Whatever, the case, the New Plague has played a larger role in the shaping of the wasteland than most people realize.
3 The Dunwich Cult
A secret cult dedicated to human sacrifice and the worship of eldritch creatures can be uncovered if one dares to venture into some darker locations in the Fallout series. At the center of this cult is a being known as Ug-Qualtoth. Its name is mentioned in Fallout 3 in Dunwich Building terminal entry by Jaime's Palabras' father, who according to Jaime carried a book called the Krivbeknih. Jaime himself would lose his sanity, and can be found preying to a mysterious obelisk in the tunnels below the Dunwich Building. Whatever connection the obelisk has to Ug-Qualtoth isn't fully understood, however, it not only seems to be living in some way, but utterly malevolent in nature when interacted with.
The Dunwich Borers location in Fallout 4 contains even more clues about this otherworldly cult. Delving deep into the mine will eventually bring the player to what looks like a ritual chamber, where they will see multiple flashbacks of the cultists performing bizarre sermons and other pre-war activity. It is not known if this cult is still active in the wasteland.
2 Mutated Horrors Of The Wastes
The idea that so many mutated creatures now roam the irradiated wasteland that once was America is a disturbing reality that most survivors of the Great war are forced to live with. Deathclaws, Super Mutants, Radscorpions, Feral Ghouls; all hideous and/or deformed creatures that have either mysterious or outright horrific origins.
Super Mutants in particular are a result of inhuman experimentation on humans not only by the U.S government but by certain individuals even after the war. Ghouls are the result of excessive radiation exposure, with feral types receiving so much that they become little more than zombies. The mixture of F.E.V and nuclear fallout from the war has proven to be nothing short of disastrous even after two whole centuries.
1 Extraterrestrial Visitors
Aliens exist in the world of Fallout. While their intentions are currently unknown, the mere fact of their existence is an existential nightmare. These beings have apparently been visiting Earth for centuries, and can be found in virtually every main Fallout title, with Fallout 3 giving the clearest depiction of what kind of being they are. They have advanced weapons and medical technology, and are obviously capable of interstellar travel (implying that they could be visiting other worlds alongside Earth).
This comes coupled with their seemingly depraved scientific practices. They kidnap people against their will to run all sorts of invasive and painful experiments and procedures on them. In some cases, they can be heard interrogating their captives for information. No one knows what they're after, but whatever it is they seem determined to get it.