You want to write a SF story but don't want to event a world. What to do? What until tomorrow; that always works. Or go to Shared Worlds' article by Jeff VanderMeer and see what some SF/F authors think are the most SF-fantastical cities here on Earth. I can imagine they'd good horror settings as well.

Elizabeth Hand votes for Reykjavik, Iceland. Ursala K. LeGuin likes Venice, Italy. Michael Moorcock thinks Marrakesh, Morocco is the best choice. And there are others. But why these cities? Go to the article to find out, but here a sample from Hand on Reykjavik:

It's more like an off-world colony than any place on Earth. Architecture that consists largely of corrugated metal and concrete (think Quonset huts), a dauntingly inhospitable landscape –lava flows, cliffs, glaciers, hot springs, immense waterfalls....

Shared Worlds is a two-week interdisciplinary workshop at Wofford College focused on creating shared worlds. Jeff VanderMeer is an assistant director and instructor there, and has done everything else, too.