The purpose of horror roleplaying is to have a good time. Right down to pounding hearts and sweating brows, it's part of human nature to find pleasure in being scared, as long as being scared is not for real. For some, the relaxation after the scare is the most important result. For others, it is the scare itself. Call of Cthulhu is a vehicle for alternately scaring and then reassuring players.
The game is also a way to portray Lovecraft's dark philosophy of a humanity which can exist but not surpass, and for Lovecraft's now-dense, now-archaic language unwinding like pages from one of those ancient books of magic he described. We even can find as much pleasure in lampooning his ideas and motifs as in taking them at face value, for Lovecraft laughed about himself and wrote stories which satirized his friends all the time. However, he continued to write with increasing conviction and depth. As you play Call of Cthulhu, your enjoyment also will deepen.
The Golden Rule: Have Fun!