It was more fun when you had no weapons.
Once you get weapons it gets less scary. On the other hand even with weapons your character is still pretty dang frail compared to most shooters.
The game's very atmospheric but I feel it suffered a lot from the way the production was managed by Bethesda. I almost didn't complete it because of a bug that manifested itself due to the nature of the way it was ported, had to do with differences in the movement speeds between the Xbox and PC versions. It was changed because due to the mouse on the PC version it was too jumpy, but this futzed with some triggers in a chase sequence and I kept getting killed. This was solved by not using the strafe keys at all during the sequence, which really made no sense because the strafe keys were faster in a strictly point A to B fashion.
Still, killing Ancients is really fun, and if nothing else it was a memorable game that successfully recreated Lovecraft's world.