Most horror movies/series are only horror, and fail to go in depth with the characters and make them relatable. If I don't see any side of the character besides them being haunted by ghosts and monsters, then they just seem like npcs to me. I don't care for them. I don't care if they die. However what Flanagan does, is show what makes the character human. For example Nellie. (SPOILERS AHEAD) She has SO many problems, besides the ghosts and ghouls. Her sleep paralysis, her broken relationship with her siblings, her grief for her husband's death, her having to be the glue that keeps the family together. I can see her struggle. And I can relate to the feeling of hopelesness, I can see her as another human being with a story behind her name. She's not a random joe who just happened to stumble upon a haunted house, whom I know nothing about. She's a soul, with cracks and bruises left behind by the cruel indifference of the universe. Like me. Like all of us. So when she died, I felt as though an actual life had been taken. It wasn't just for a shock, it was to completely break your heart. The show is the perfect mix of fear and love. The relinquishment of all logic. Without it, we wouldn't know what it takes to make such a good horror series ;)
(ending is a reference to the end monologue if you couldn't tell)