Wild West Exodus is a skirmish game that mashes the 19th century American West with steampunk and horror themes. You can get the free starter rules here.
Strange Aeons is a commerical rules set, but if you already own it, you may be interested in these free modifications for playing in an 18th Century setting.
Zombie Escape is a Warhammer 40K modification for Imperial Guard versus Zombies
Eric Laurent has written Verdammnis, a “weird World War II” modification for the excellent commercial rules set “Dogs of War.”
The modifications include rules for Nazi scientists, zombies, super soldiers, and werewolves, as well as providing stats for WWII British, Russian, US and German troops.
Dark World War is a set of free wargames rules — actually pay what you want — for playing WWI games that include demonic and mythological creatures.