Ah! Good point.
Not out for a month or two but Mansions of Madness looks right up your alley.
That’s ok, Last Night on Earth: The Zombie Game is better.
To be honest I’d pass on Arkham Horror, it’s ‘cooperative’ like Russian Roulette is ‘cooperative’.
“Common, we need to close that gate. Go in, you’ll be fine.”
“Screw you, I only have a knife and a candlestick. Why don’t you go?”
“My guys a bookworm, I’m gathering supplies.”
“Ok, so give me some weapons.”
“I can’t, my guys not good at fighting so I need all the bonuses I can get.”
“But my dudes nearly dead!”
“Well if we don’t close that gate-fuck, we’re screwed, Cthulhu’s here.”
Maybe my friends are just more cooperative than yours are. 
It’s not bad. But it’s no Betrayal.
I wrote a little web app to recommend games based on thousands of player ratings. If I try it out for you, it also recommends Betrayal, Last Night On Earth and some others like Battlestar Galactica and Fury of Dracula: http://www.findanewgame.com/#380a
I played Arkham Horror a while back and agree that it’s far too complex (and long) to enjoy as a new gamer :-/
Do NOT play with all the expansions - esp if you only play once a year on Halloween. It took >1.5 hours to set up, and probably an hour to sort all the pieces at the end. And some boards were not visited (either Dunwich or Kingsport, possibly both)
Brian
It’s the game that spawned the quote " Thank you doctor, I feel so much better now. There are no such things as cosmic horrors. Come along, Cthulhu."
The problem my group had with Betrayal is that when the big switch happens it was always a total walk - either the betrayer was in a good position, and once they flipped they were unstoppable, or the betrayer wasn’t in a good position when they flipped and everyone was able to easily kick the shit out of them. No middle ground.
As far as Arkham Horror, I really like it. Just expect to lose a lot more than you win, IME.
-Joe
Betrayal is good, especially for a new gamer, and hopefully the new edition has fixed some of the issue of the old one. (Haven’t seen the new one myself yet).
In the horror vein, I’m going to suggest “Touch of Evil: The Supernatural game.” Though it’s more traditional horror and not as… eldritch.
That depends a lot of how your gaming group likes to set out the game, though. If you play standard board only and take some of the helpful stuff from the expansions, have 4 veteran players and easy Great Old One like Azathoth with no Herald and a Guardian, you should win way more than you lose. On the other hand, playing with 5 newbie players against Atlach-Nacha and using an expansion board or two, add a Herald and take no Guardian and your odds of winning are roughly zero.
Our gaming group tends to sort of oscillate between high and low difficulty, taking it easy if the last game was brutal for the good guys and piling up the hardness if last game was easy.
If you “take some of the helpful stuff from the expansions”, isn’t that kind of cheating?
Personally, I think the slimmer the Unique Item deck is (ie. higher ratio of Elder Signs to Other Stuff) the easier it is.
-Joe
I absolutely second this. I’ve pulled the game out at a small party and managed to get an entire group of ten noobs to play it and have a great time (suggested size is 4 to 6 but I bought the expansions and so we had a lot of extra humans running around.)
I especially like the game because it has fantastic pacing and a definite ending point. There is a turn limit, so a very basic game lasts around an hour. The game starts out a little slow and relatively casual - the human players will be cocky and think “oh this is too easy.” Mid-game the tension start to ramp up as weapons break and zombie cards get thrown around. End game is usually incredibly tense and the humans are constantly discussing strategy.
The mechanics are flexible and there are a ton of gametypes to choose from. Seriously worth the money.
It’s a modular game. I wouldn’t call including things A, B and C but not D cheating, but YMMV. Always using everything when you have 6-7 expansion sets kind of dilutes them all and turns the game too convulted IMO. It’s a co-op game vs the board anyways, as long as you aren’t boasting about your amazing victories (where you used the best investigators, 2 Guardians and slimmed down unique and spell decks) all that matters is did your gaming group have fun. Sometimes we just want to chill, do some semi-useless encounters in seldomly visited places and so on, sometimes we want gut-wrenching horror at the utter futility of our attempt to save the world, and with AH we can fine-tune the game either way.
Our last game ended up in our complete defeat in 4.5 rounds, by the way. 
There’s Fury of Dracula. It’s horror, but unfortunately it’s not cosmic horror. One player plays the role of Dracula, while others are the hunters. The hunters have to explore Europe to track down Dracula while Dracula can leave nasty surprises behind. It’s more balanced than Betrayal, and less cumbersome than Arkham Horror.
Unfortunately, there’s only one scenario, so replayability isn’t its strong suit.
How about Castle Ravenloft? I haven’t tried it yet, the art and quality of the pieces aren’t as good as other games, but it looks and feels decent. Anyway tried this before?
It’s a decent game. Can be fun and tense, and there are lots of scenarios and room for making new ones. But it’s about as “horror” based as a vacuum-molded smiling frankenstein’s monster mask held onto a toddler’s face with a rubber band. It’s really just generic D&D style fantasy with horror-style monsters.
As a board game fan, I give it an 8. As a fan of the Ravenloft D&D horror setting, I give it a 3.