I remember the light and magic that lit my mind of fire the first time I played Dungeons and Dragons. My friend had gotten a starter set that had a great fold out map and card standees and all I knew was that I went to deliver a package and up delivering it I was knocked out and woke up in a dungeon behind bars and wanted to make good my escape.
No character background, no story hook other than a basic desire for freedom. After that I was like an addict who couldn't get enough of my next fix. Whenever I went over to that friends house, all I wanted to do was enter that magical land of make believe.
With the concept of armor class and Thac0 I started filling a notebook with all sorts of fantastical creatures during recess while other kids played four-square or tetherball.
Excitedly I showed my ideas to my friend offering them to him as monsters he could use and I was curtly told "you can't do that" There was a Monster's Manuel and published material for the game, you couldn't just MAKE THINGS UP!
So the notebook went on the shelf, followed shortly by a ban from playing D&D from my parents because they'd seen some movie about how it make kids bad or something.
Years later, I introduced my girlfriend to D&D (my parents having given up by that point). I told her she could be anything she wanted and she said "A princess" well what I meant by "anything" was one of several prescribed classes, which she could then put a veneer over and explore a dungeon according to a specific set of rules.
Oh, man I'd become the very thing that took the wind out of my sales so long ago.
Now I play with my kids, and when they come up with an idea we run with it and bend and break rules because while it can be fun to play an exact simulation game, it is more fun to capitalize on imagination.
The rules are there to assist in telling a story, not the be all end all (of course if you want an in depth simulation game, please rule lawyer along).
This works well for weird horror as well.
There is little reason for me to say a player can't be something in a game where the Big Bad is from a different reality all together. In fact, it often works to my advantage as a GM. Having a min-maxed character, a combat monster who cannot be defeated, is often there not because of the "character" but rather because of the player wanting to "win." Having that type of character makes the player feel safe, because they feel the either won't die, or at least are just used to combat being the sole resolution to every problem. This allows for that much more of a shift, because you can change the script for success.
Have a creature that only attacks using saving throws instead of normal combat mechanics. Make it only able to be hurt by something ridiculous like sage. Have one of the PCs give it the common cold and while it is invulnerable to everything else, it dies in a week from the flu.
You can open up your mind to anything as both game master and player when the rules don't matter, and "You can't do that" is removed from the creative process for both players and GMs.