In the role-playing/story gaming hobby, the predominant genre is fantasy. This is mainly because of Dungeons & Dragons' influence, but the fantasy genre also has a number of characteristics desirable for role-playing: being able to hand-wave anything you don't understand as "magic", for example, or the genre's long distance from reality, which carries a lot of appeal to the escapist.
I, however, more often than not lean towards contemporary mystery/horror with my games. Why is that? There are a number of reasons:
1. Mysteries cater more to my playstyle. My games are very narrative-driven, based heavily on the ongoing back-and-forth between myself and my players. This can be a little difficult with more action-oriented genres. There's only so many ways you can say "I attack the orc with my axe."
2. Using a contemporary genre saves time for me to focus on the story. I don't need to go into detail on what a castle or abandoned tower or something looks like. If I say "you're in an abandoned building," every player at the table can conceive of their own abandoned building, and chances are it'll fit the ongoing narrative just fine. In a more action-oriented genre, the particulars become important because (presumably) there'll be some fighting going on, and the layout of the terrain can become a tactical consideration.
3. Mysteries and horror, more often than not, are stories of survival, which are very easy to "gamify." In the fantasy genre (again, mostly because of D&D), the players' characters are heroes, with expectations of becoming more hero-like, more powerful, and more prosperous as time goes on. Contrast to an ongoing Call of Cthulhu game, where the players are just happy to be alive after so many sessions. There are indeed fantasy games with a shift towards survival; however, the classic idea of the fantasy genre still tends to be about gaining power rather than merely staying alive. This may make for fun games, but from my experience it can make fairly boring stories.