"The Most Dangerous Game" by Richard Connell is a chilling story; however, there is nothing obviously grotesque or bloody in either the description or the action. All of the suspense and horror are created by other means.
First, the setting contributes to the mystery and horror of the story. Sanger Rainsford begins on a boat which is sailing in the dark through a fog, and
the dank tropical night that was palpable as it pressed its thick warm blackness in upon the yacht
Behind the fog lies a mysterious island. It is a place where even hardened sailors do not care to go near because of the superstition connected to it. It is called Ship-Trap Island for a reason, and no one wants to get caught near enough to the island to risk foundering. Unfortunately for Rainsford, he falls off the boat and has no choice but to swim to the foreboding island.
The island does not appear to be inhabited, yet Rainsford has heard gunshots and odd screams which he, an experienced hunter, does not recognize as coming from an animal. Finally he discovers an unexpected surprise--a perfectly civilized mansion in the middle the deserted island, Of course it is surrounded by jungles and quicksand and other hazards, but the house, at least, seems civilized. Something is not right on this island.
The characters also contribute to the horror of the story, though perhaps not at first. Ivan is an imposing figure, of course, but he is just a servant until we learn that he enjoys torturing people--and would be happy to have Rainsford as his next victim. General Zaroff, too, seems as civilized as his house, until he calmly announces that he hunts humans and intends for Rainsford to be his next prey. It is the contrast between what we see/expect and what we get that creates most of the terror in us regarding these two characters, and especially Zaroff.
Now we have a conflict, and it is an awful one: Rainsford has to choose between becoming Ivan's next torture victim or being hunted by a madman with superior hunting skills. We can imagine his fear because we would be fearful, too. Of course Rainsford chooses to take his chances in the jungle, and now the life-and-death conflict begins. When Rainsford sits in the tree for hours, hoping he has done enough to keep himself from getting caught, we wait with him, breathless with fear when when Zaroff approaches. As soon as one crisis is averted, another begins, and we are frantic along with Rainsford as he tries whatever tactics and maneuvers he can think of to save his life. When Rainsford jumps over the cliff, we feel as if all is lost, and when he reappears in Zaroff's bedroom, we know the battle will be to the death. We know that is what happened, of course, but all we read about is the "very excellent bed" Rainsford sleeps in. What is left unsaid is the horror.
Because we tend to empathize with the protagonist of a story, we feel what Rainsford feels. This is such an unexpected and unpredictable journey for Rainsford, a journey filled with conflict and suspense, and we make that journey with him. We are horrified not because of a bloody knife but because we know how a knife might become bloody in this story. We are horrified not because of grotesque descriptions of what Ivan likes to do to people but because we never want to find out for ourselves. We are horrified not because we see the human heads hanging in Zaroff's house but because we know they exist and never want to see them.