I would call this type of web series a supernatural thriller, but without the dependence on CG or bad storytelling. The plot itself is a jumble to tapes discovered by Jay and he decides to reveal them to us. The viewers are discovering the evidence and phenomenon at the same time as Jay, so there isn't anything he knows we don't already know.
The source of the paranormal phenomenon is a being called slender man who is a creation of the Something Awful Forums. I'm not entirely sure what it is, but it looks to be a tall, skinny looking man with a mask covering his face. Whenever it is near the camera reacts strangely, sometimes showing an image of himself.
The web series uses the boogyman like creature who follows the cast from the Marble Hornets student film. They have all lost parts of their memories, coughing up blood, have seen Slender Man and become completely obseed with recording themselves. Also, people indoctinateed by slender man can become ruthless killers who have no memory of actually atacking anyone. The whole series is a simple mystery with some supernatural hints.
Slender man itself is a creepy concept spawning into a sort of underground culture image. Considering his modern appearance I would think he would be a recent apparition conforming to the times he was created. Also, how he draws you in and terrifies you at the same time implies an almost corporate like trust we already have with real businesses.
I highly recommend watching this series late at night, it just ups the creepy factor. There is also another video you need to watch along side the series. It is an unknown observer, who calls itself totheark, posts messages, along with strange video footage.
The videos start out simple, but become increasingly complex and scary when you view them between the dates of the Marble Hornets series because it just adds to the plot and density of story.