The setting of Call of Cthulhu is a darker version of our world, based on H. P. Lovecraft's observation (from his short essay, Supernatural Horror in Literature) that, "The oldest and strongest emotion of mankind is fear, and the strongest kind of fear is fear of the unknown." There are three primary eras of the original (BRP) game: the 1920s, the setting of many of Lovecraft's stories; the 1890s Gaslight supplements, a blend of occult and Holmesian mystery and mostly set in England; and modern conspiracy (Cthulhu Now). Recent additions include 1000 AD (Cthulhu: Dark Ages), 23rd Century (Cthulhu Rising) and Roman times (Cthulhu Invictus). The protagonists may also travel to places that are not of this earth, represented in the Dreamlands (which can be accessed through dreams as well as being physically connected to the earth), as well as travel to other planets or the voids of space.
The players take the roles of ordinary people drawn into the realm of the mysterious: detectives, criminals, scholars, artists, war veterans, etc. Often, happenings begin innocently enough, until more and more of the workings behind the scenes are revealed. As the characters learn more of the true horrors of the world and the irrelevance of humanity, their sanity inevitably withers away (the game actually includes a mechanism for determining how damaged a character's sanity is at any given point). To access the tools they need to defeat the horrors – mystic knowledge and magic – the characters must be willing to give up some of their sanity.
Call of Cthulhu has a reputation as a game in which it is quite common for a player character to die in gruesome circumstances or end up in a mental institution. For as long as they stay healthy (or at least functional), characters may be developed. Call of Cthulhu does not use levels, but is completely skill-based, with player characters getting better with their skills by succeeding at them.