Ok well I would deffinately perfer to have the "fog horn world" in the control of the GM. One of the things that makes SH so much fun is the not knowing when its coming. Your exploring the hospital and BAM the fog horn and your in the creepy "other world." So if I get imput, thats one that I would nix right away.
The idea of them not knowing about their "super" power up front is one I would deffinantly support. Also as far as the "what happened" (past) that draws them to SH, that should be up to each player, but the "What Happens" (present) that physically puts them in SH should be something that happens to them all. I am really wanting a shared experiance btw/ the PC's giving them the opportunity to say the "Holy SHIT was that real?" over and again.
I would suggest one of two options, but of course they are just suggestions:
1) They are all on a cross country bus trip. The bus is forced off the main highway by a storm or whatever and they end up in the "tourist trap" that is SH, only they find it deserted...
2) The PC's are all in an assylum. They all babble about this place, SH, and they all are dillusional in some way. As a last ditch effort, their Therapist takes them to SH to prove to them that there are no monsters, only to find that there are a shitload of them!
As I said, these are just suggestions, take them or leave them.