People talk about the graphics, but it was the crescendo and decrescendo of guard sounds/singing/footsteps in Thief that made it one of the most immersive games I’ve ever played.
Yeah, the graphics were honestly kinda underwhelming, in particular the models were behind the curve compared to contemporary titles like Half-Life, and this didn't really improve with later titles like System Shock 2, where half the horror was the distorted textures stretched across the faces of the models. I think what modern games have lost, that some of these late 90s titles absolutely nailed (Thief in particular…
re: the graphics - I don't remember being particularly underwhelmed by the graphics, but I didn't play many contemporary titles to compare it to. I was drawn-in by the System Shock franchise, but otherwise didn't really game.
For me the horror element came from the voice acting on the audio journals, the voices of "the many", and those goddamned cyborg assassins.