These tips are aimed at both solo players, and regular GMs wanting to run better horror-themed games.
The basic dilemma is a choice between two equally undesirable outcomes that cannot be avoided. It is not a railroad, you are presenting the characters with two options, they are free to come up with a third way if they can.
A classic horror dilemma is a bad person who could save an innocent, but only if you release them, but if you refuse their assistance, you may not rescue the innocent in time.
This is the premise of Silence of the Lambs.
Dilemmas like these work on so many levels, and the better you can play up the villain, your own Hannibal Lecter, the more fun it is. In fantasy settings, a demonic presence possessing a body is a good example. Kill the innocent to banish the demon, or spare the innocent and set a demon loose in the world?
There should be consequences to both choices. If you players find a third way, such as exorcising the innocent to cast the demon out, try and apply as many consequences from both options. Can the innocent survive the exorcism? Does the demon flee before the exorcism is complete and possess someone else, but they now know that the characters are a threat?
If a demon was completely outraged at the characters, who would be the absolute best/worst body for the demon to possess?
These consequences can create a ‘monster of your own making’ situation, and when the characters think that they have won, they have really released something terrible.