In every game setting, there are certain expectations. Role playing game theorists call this the Social Contract. Play a fantasy setting and you don't expect laser guns and bazookas (at least not on a regular basis). Players don't have fun if they expect one thing, and the GM is expecting another.
I see a lot of people have trouble when they first play Call of Cthulhu (CoC), because they bring expectations into the game from other settings. This is especially true when a typical Dungeons and Dragons player gives CoC a try.
D&D is typically heroic fantasy. Players expect their characters to overcome the obstacles and win through in the end, defeating the villain. Often wading through hordes of the villain's monsters on the way. That's heroic!
Call of Cthulhu is based on the works of H.P. Lovecraft. Pretty much every story by Lovecraft has the main characters going insane or dying. It's a horror genre where the good guys don't win. At the very best, they merely stave off the inevitable for a while.
Take D&D expectations into a CoC adventure, and you'll be sorely disappointed! Here's a list of what you can expect going into a CoC adventure, and ways to have fun with it.
Insanity
Based on books that are steeped in insanity as the final result of discovering "what's really out there", it's no surprise that Call of Cthulhu characters go insane fairly easily. The system itself is designed to help them go insane.
Going insane is not a bad thing!
Insanity in CoC models a character becoming more and more tuned in to what's really going on, and less and less able to interact with those fools who are still living in blissful ignorance. One way to get the most fun out of your character going insane is to give them some goal in their background that they want to achieve. As they go more and more insane, they will stop at less and less to achieve their goal.
Starting Sanity
Most new CoC players want to maximize their starting Sanity score, partly because it makes it easier to stay sane, but also because of a perception that a low starting Sanity score means their character is starting out insane.
Unless you're deliberately creating a character who is insane to start, all characters are sane at the beginning of the game. The character with a high starting Sanity is just more resistant to recognizing the truth when it is put in front of her. Characters with low sanity are more accepting of new ideas.
For the most fun in a CoC game, make your character's starting sanity relatively low. She goes insane more quickly, and you're able to act our her insanity through more of the game.
Death
Character death, in most game settings, is a Bad Thing. Players go to great lengths to avoid having their characters die. Go into a Call of Cthulhu game expecting your character to die. Have them do stupid things (e.g. the sort of things you yell at characters in horror movies for doing), as long as they're in character.
A good CoC GM will not arbitrarily kill off your character. It makes for a more exciting story to toy with characters and let them live longer than it is to kill them off early. Characters should die at dramatically appropriate times!
Have Fun With It
Approach a Call of Cthulhu game not like playing D&D, but as if you're starring in a really bad horror movie. That will get you into the right frame of mind to be able to enjoy the game, rather than be frustrated when you cannot manage to kill the monster or banish the demon.
And who knows, you might actually manage to save the world, and end up writing your memoirs in an insane asylum, just like the characters from Lovecraft's stories.
