It’s not a scenario based game, although you can get a lorebook that provides specific scenarios with additional setup specifications. The Feature Film boxes are pairings of a killer and a location for packaging/purchasing (and thematically tied), but you can pair any killer with any location. And they’re quite different.
As far as killers, Hans is beefy and lethal but doesn’t have any special mechanics. Inkanyamba is relatively weak in his basic stats but has a Wrath track that various things buid, with 11 different escalatingly bad things he’ll do if his Wrath is unleashed at that point and a special action card you can use to placate him and reduce his Wrath. Dr. Fright is a dream killer and you cannot interact with him (doing or taking damage) unless you are asleep, which can be triggered by terror cards or taking the Rest action. While asleep, every turn you have to reveal a Boiler Room card, and depending on the direction you choose to approach it from, he may get a free attack on you. Geppetto has 3 puppet Minions which can independently move and attack (but are tied to him with strings so can’t get too far away) and can take control of victims. The Poltergeist is immune to damage - you win against her by finding a little girl in the item decks and getting to an exit with her still with you (attack cards are still useful because the Poltergeist will sometimes confront you with other things that can be attacked). The Terror From Above vignette has no “killer” but spawns lots of bird tokens that will build up and attack you specifically as well as go after victims when sufficiently concentrated. You win not by killing them but by rescuing special victims. All of the above have their own unique terror cards, Dark Powers (one of which will be played with per game) and Finales (same).
The locations also have different layouts and special rules, and of course different terror cards and items and events. Camp Happy Trails is again, relatively generic. The Sacred Grounds also have a Wrath track, although it’s separate from Inkanyamba’s and has different effects (the two in combination is actually super rough IMO), and add Bloodlust effects to the killer. It has sacred sites that the stupid tourists will wander into to especially piss off the gods. Maple Lane is a district of houses you have to talk your way into with a special action card to enter (if anyone’s there) divided by a cross of street spaces, and has different rules about finding items (one per house, basically). The Carnival is most characterized by having traps - both in the item deck, and in the terror cards (and also a go cart if you get the right event). And Creech Manor is vertically oriented, with the exits at street level, so you have to climb down from higher floors if you want to lead victims to escape. One of the ways down is a ladder that can be removed if you’re unlucky. And there are Window spaces that some of the cards reference.
I haven’t played with them enough to have favorites. But you can see there’s a lot of variety.