Cthulhu is an infra-dimensional entity that has only a conceptual existence within the human “R-complex,” the brain stem and limbic system left over from our primordial reptilian ancestors. This is why he appears only in dreams, high-stress encounters (such as shipwrecks), and artistic impulses. He is attempting to create a critical mass of believers so that he may “emerge from R’lyeh” and open the eyes of all ... [p91, Trail of Cthulhu]
In my Father's house are many mansions: if it were not so, I would have told you. I go to prepare a place for you. And if I go and prepare a place for you, I will come again, and receive you unto myself; that where I am, there ye may be also. John 14:2, KJB
Session zero, in any RPG ruleset, is about setting expectations. You need to be clear about what you hope to accomplish, and you want to encourage the players to be open about what they hope to achieve. Even in a mystery-solving setting like GUMSHOE, it helps to be as open as possible about the campaign and setting.
How open, I hear you ask?
Well, using Many Mansions as a guide and bearing in mind what's been said so far:
You need to tell the players about the world and its main features. That means you need to be up-front that this is Purist, set in Kingsport, with Cthulhu as the main Mythos threat. You can even quote that bit about Cthulhu being an infra-dimensional entity; it helps define expectations. You probably also want to talk about Mislow's Antiques, the Downtown Library and other important locations within your version of Kingsport.
This will give the players some idea of what to expect, and where they might go when looking for clues. It also allows you to drop reminders about those locations if it seems, during play, that the investigators may have forgotten about Tredwell and his peculiar knowledge base. Those reminders can be useful 0-point clues in any session.
More importantly, it whets the appetite. The players know it's all about Cthulhu, and that's fine. You want them to anticipate that awful moment when they're face-to-face with the unspeakable. It also gives the players a clear route forward, which is always useful. Most of the GUMSHOE products explicitly say that the players are responsible for providing some of the thrills; they can't do that if they don't have at least some idea of where they're going.
Most importantly, this avoids player frustration. Yes, this is a mystery game. That does imply a certain amount of, well, mystery. But it doesn't mean the players have to wander around in a fog.
Think of Session Zero the same way you might the opening moments of Columbo. The idea isn't to hide the mystery. The idea is to make the parameters of the main threat plain, so you can watch the investigators slowly make their way towards that threat.
This doesn't mean you have to reveal absolutely everything. Notice I mention Purist, but not Dreamworld. That underlying layer is for you alone. Let the players fumble towards that hideous, Sanity-destroying reveal - in order to 'win' they must destroy themselves, and Kingsport, so the dreamer they inhabit can awake.
Session Zero is also the moment for you and the players to talk about their characters, and the group. How did they meet? Why do they stay together? What triumphs have they had, what tragedies? Do they have a favorite hangout? Do they want to add something to your base description of, say, Mislows?
This last can be especially useful. You might never have thought that Mislow was connected with the Profaci mob family of New York, but if one of the players likes that idea, add it in. Maybe you planned for Tredwell to be a comedy character, but the players prefer a Terrible Old Man version of Tredwell. When in doubt, go for the option that promises the most fun.
Always remember that this is about fun. Never fall so in love with your plot that you can't face the idea of changing it; no plan survives contact with the players. You might have all sorts of ideas, but if you can't bear someone else playing with the toys then you should write a novel, not an RPG campaign.
As this is about fun you need to think about safety tools, and to discuss any special rules that your campaign might use.
Safety tools have been discussed so often that I hope I don't need to discuss them here, again; either you see the need, and don't need the speech, or you don't see the need, in which case nothing I say will persuade you.
I will say that safety tools are as important, and possibly more important, in horror games like Trail than in any other RPG setting. You're going to want to know if body horror, say, is a complete no-go. You're going to need to know if player X likes the idea of romance (tragic, doomed, but, y'know, romance) or if player Y is going through tough times and doesn't need your commentary about [whatever it may be] adding to their troubles. Again, this is all about having fun at the table, even if that fun is eldritch and coated with a thin layer of grue. No fun = no table.
Special rules, particularly in Trail, is an important conversation. Trail and games like it dwell as much on mental corruption as physical hurt. If this were D&D the players would ultimately only have to worry about how many hit points they can afford to lose. With Trail you can be as healthy as a horse, and still get pounded. If the players aren't familiar with that concept now's the time to set them straight. It's also a good time to talk about their Sources of Stability as well as anything unique to their character that might affect the narrative.
The last thing to discuss in any Session Zero is the opening session of the campaign. The very first session is like troubleshooting a new product; you take it out on the road and see how it handles. Then you fix the things that broke. This is helpful for the obvious reasons, and also because, if you haven't played with some or all of these people before, you need to know what they're like. Anyone can say they're thus-and-so before the session. Only by playing with them will you find out what they're really all about.
The first game should be something light, influenced if not driven by the players' ideas or requests. Perhaps it introduces the characters to a major asset - say, their first visit to Mislows, or maybe Tredwell has some ideas for the characters to chase up. The opposition should be interesting but not so challenging that the investigators end up in the hospital, or, worse, the morgue. So, a ghoul, say, but not a pack of ghouls. A ghost, but not a whole haunted house stuffed full of ghosts. Open with action, sure - but they almost never open a James Bond film by killing James Bond. Except that one time. And the other time. It doesn't happen often.
Now! Time rushes on, the scene is set, you've done all you can do ... now it's time to DESTROY SOME SANITY!!!!
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