We didn't have a sanity system. Occasionally, we'd have to make an IQ roll for shock or fear when something really terrifying. Most of the horror came from the tension of threats to the well-developed setting. By the end of the campaign, we both had spouses and children, making the things we faced even more stressful. We lost a lot of friends over the course of the game and each loss hit us hard.
Some of the stuff we dealt with were: fragments of a mirror which warped the minds of those who gazed into it and allowed them to become possessed by otherworldly entities; a scroll containing the ritual to summon the Egyptian god Set; a group of powerful vampires operating a "feeding house" containing kidnapped indigents; a war with magic-wielding goblins dwelling deep beneath the city; ghouls feeding on corpses in the London sewers who occasionally would get a taste for living flesh; the Fair Folk; and a number of dangerous artifacts purloined from the British Museum. That's just a sampling.
Both of were recruited into an organization called the Order of St. Cyprian, a pseudo-Masonic lodge of gentleman wizards tasked with protecting the empire from supernatural threats. A fair amount of the stuff we dealt with was rogue members of the Order or their artifacts falling into the wrong hands. One of the most popular spells in the order was Summon Demon and corruption of members was a constant threat.