Oh Gloom... I played this for the first time a while back. It was on the train coming home from PAX East. We ended up making a very odd story of murderous clown midgets who used darks arts to do horrible things. We... were odd people, and it was 2 in the morning at that point.
I love it, there is actually an entire Cthulhu Gloom set with their own families that I own and it is awesome.
It's super simple and you can explain it and start playing in 5 mins so it's a great thing to carry with you so you can break the ice with new people quickly.
This game is incredibly fun to play with storytelling pals. The cards are things like "pursued by poodles", and crafting a story that weaves together all the events is both hilarious and challenging. One of my all-time favorites.
Look out for Cthulhu Gloom which is a tighter game in which they learned all the lessons from making the Gloom expansions. And besides which you get to fiddle around with Lovecraftian horrors from the get-go.