There have been a few different Frankenstein musicals. Same with Night of the Living Dead musicals. The one I saw off-off-Broadway forever ago included a scene where George W. Bush got gored to death on a golf course because of course he did.
There are also two different Poe musicals called Nevermore. Both are small, chamber musicals. One is Poe and four women representing his muses; the other is a steampunk adaptation.
Shockheaded Peter was horror.
There's a solid little Sleepy Hollow musical by Janet Yates Vogt worth looking at.
Annabelle Broom is a delightful, creepy musical for kids.
Little Shop of Horrors.
If you extend your range to Gothic musicals, as well, then you can toss in Jane Eyre, The Visit, and A Gentleman's Guide to Love and Murder.
Updated On: 12/9/15 at 01:21 PM