Your character can go insane if he/she loses all Sanity points- but it's just a setback, if they go insane they wake up in Arkham Asylum next turn for "treatment" (the asylum in Batman was named after HP Lovecraft's creation)

This is my favorite game ever- but it's not for everyone. It's complicated, it takes a half hour to set up and several hours to play, there's at least 18 different decks of cards, 100+ cardboard pieces, and to call the rules "fiddly"" would be an understatement. But it's the closest you can get to an RPG without a game-master; a good game of A-H is like walking through a really weird horror story, and it can really build up tension as your Doom draws near (yes, if you lose the whole world gets devoured by an obscene alien god)

There's also a simpler, faster version called "Elder Sign"