One way to implicate the players is to offer them horrific, impossible choices. (Let me go back a bit to explain this.)
Conventionally, in horror games, we present players with horror. We show them something horrific, usually a monster, and expect them to respond.
Instead, try giving choices. For example, do you kill the person who's trapped inside the monster, or leave them to be slowly digested? Do you rescue your comrade, risking your life, or escape yourself? Do you give your life to save the town? Or, to take an example from Jason Morningstar's The Black Drop: one of you must be sacrificed. Who will it be?
That way, the players are implicated. Damn right they're implicated: they chose the horror.
You need to make sure it's horrific either way. It's not hard. Usually, it involves a choice between human horror ("If I don't kill/torture/blind someone...") and supernatural horror ("...then this monster grows stronger/wreaks havoc/does horrible stuff to people I care about"). And you need to make sure it's a real choice, too, and you're not railroading them into one option.
I like to put choices like this at the end of scenarios. Often, players/characters will fight over them, and that's a great thing. One character wants to perform a sacrifice, so another turns a gun on them. Often, you'll end up with a bloodbath, and all you have to do, as a GM, is sit back and watch.
There are other techniques too. Most obviously you can make horror scenarios actually creepy. It sounds obvious, but so many horror scenarios aren't: they recycle tentacles and zombies, which we've seen many times before. Put a zombie child in there. Put a river of running bile. Put something that you find unpleasant and, often, the players will find it unpleasant too.
Another technique comes from improv: be obvious, without self-censoring. This is particularly effective in horror. For example, I recently wrote a scenario about Daoloth, a god who helps you "see the world clearly". Daoloth sent one of my NPCs mad. I decided that, to see the world clearly, my NPC had carefully removed his eyes with a dinner knife (they were getting in the way). This seems obvious, to me, but it's clearly horrific.
Honestly, though, offering choices is the best technique I know. And it's the one that actually implicates players in the horror.
In an nut shell: Twist Christmas or a threat to Christmas.
Twist a theme of Christmas (whichever you pick) to make the opposite of what it should mean. This will corrupt Christmas into something dark and horrible. Remember that most of horror/fear comes from familiar setting suddenly being unsafe (isolation), from not knowing what is out there (ignorance), and from being tapped (hopelessness). If you can get all three, preferably in the story and the location you play the game, you should be onto a winner. I am sure you can come up with a long list of horrible things such as Santa Clause being a paedophile hunting "naughty" children.
Or go for a more Pratchett Hogfather feel of a plot to destroy Christmas -- aka destroying something good. Ditto for Stross's Overtime (see comment). Something is using Christmas to do some terrible things. Maybe accepting the gifts of Stana this year will open everyone to be Horror Marked (a la Earthdawn). The threat is now external and your characters have something noble to save. Another classic example would be the Grinch who stole Christmas.
Finally, you could got for something more humourous but still horrible such as Invader Zim's Most Horrible Christmas Ever.
Best Answer
Considering checking out some of the Savage World supplements - Savage World Horror Companion and Realms of Cthulhu. Both have discussions on how you can have Powers, but at the same time still maintain an atmosphere of horror, and provide some Setting Rules you can consider. You may also want to check out Rippers, which is about a secret order dedicated to fighting the supernatural set in Victorian London.
Restricting Powers
Powers in Savage Worlds tend to be quite powerful. You can restrict Powers by making Power Points valuable - Go through the available Edges with a fine comb, and remove those that make the Power Points economy moot, such as the Wizard professional edge and any edges that give quick regeneration. You can also limit the number of times the players can boost their total Power Points.
Also consider removing Powers that may not fit with your theme - Invisibility and Fly are two examples. You may also want to handicap Bolt and Blast -- Realms of Cthulhu imposes a flat penalties to those spells, for instance.
Making Powers Hard and Dangerous to get
Realms of Cthulhu require the investigators to get their hands on magic by acquiring and reading tomes -- a feat by itself, providing that reading the tomes of powers doesn't drive you insane. Worse, it also costs some of their sanity.
For other power types, consider similar drawbacks. A psion may acquire mental stress as he hones his skills or making himself more vunerable to demonic possession or the like.
Using Powers can Be Dangerous
The core Savage World rules have certain variants on Powers causing backlash on a fumble. You may want to use rules for hitting a TN to cast a spell instead of spending power points, as this make magic more mysterious, and that higher end effects are harder to get.
Escalate your Villains
Another idea to consider is that while the player-characters may have Powers, that doesn't really even the board for them. Consider that in the TV series Supernatural, there is a food chain of sorts among monsters. Leviathans > Angels > Demons > Monsters > Common Human. Your common man may elevate himself to the level of monsters through Powers, but there are bigger predators out there.
Ensure that combat is not the solution
Also think of what's really terrifying, cases where even having the firepower of a battleship is useless. Can Bolt stop the bad guys from poisoning a town water supply which would turn the townsfolk into mindless zombies? What's good is Blast or Bolt if you can't find the creature to begin with and he moves in perfect silence? Some of the best horror movies have cases where violence isn't the answer. I'll recommend the Supernatural series mentioned, and if you like Japanese anime, the Mononoke series (NOT the movie).
Essentially, require the PCs to defeat the bad guys through investigation, research and putting clues together. Mononoke is outstanding in that aspect is that each demon/ghost can only be slain by the hero's 'demon-killing sword', only if he knows what's the form of the demon, what it is after and how it came to be.
Update: Regarding monsters vulnerability
There is also the hard part of actually striking the monster with their vulnerability. Demons are vulnerable to cold iron? But when they have Quickness and Level Headed, do you think you can get to him before he can get to you?
Another thing to consider: never, never let your supernatural horrors fight your heroes fair. That's what horror is, isn't it? Unexpected terror. They pounce at you when it is least expected, stalk you in the dark, and fight dirty.
Emphasis the difference If you want to emulate the "oh no we are like insects unto them", whenever a player gets into a physical conflict (trying to hit with a gun, smite with a spell, but not when trying to bluff or outsmart them), all supernatural goons are considered as Wild Cards...and the players aren't...