The players were in Eberron's Demon Wastes, a magic-blasted, demon-infested desert. They were tasked with cleaning out an abandoned colony. The tone was supposed to be tense and spooky (as it was a demon-tainted and tainted locale), but the PCs had smashed through everything they came to and were acting fairly cocky.
Had a very similar set up in one of my games. The PCs had spent the entire campaign adventuring in the core of the setting, a vast human empire filled with a civilization that had endured for millenia. They fended off occasional monster attacks, and uncovered various corruption and intrigues and the like, but they always knew, somewhere on the edge of the map, was a place called the Broken Mountains, beyond which all the ancient horrors of the old world had been driven into, out of the lands of men.
Inevitably, of course, the PCs ended up in those Mountains. Lost, wandering in search of survival, and surrounded by terrors that time had forgot. And they were heroes, sure, but not very high level ones - maybe 7th or 8th level or so.
Now, this was a very difficult session to run - if I just grabbed high level monsters and some scary stat-blocks, they would get annihalated. If I tried to find scary stuff of their level, they would probably be able to straight-up fight it. So I ignored stats pretty much completely, and just had a long improv session of frightening events.
Terrifying howls in the distance plagued them. When they slept (avoiding a fire), the PC farthest from the one on watch began to be dragged off by invisible hands in the night.
Perhaps my favorite moment - as they crept along a cliffside, the shadow of an enormous scorpion began to scuttle across the stone wall - despite nothing being there to cast the shadow. It plunged its stinger into the
shadow of one of the PCs - who failed a fort save and had an inky black infection begin to blossom across her skin. They carved out the rotten flesh without hesitation and fled from the shadow on the cliffs.
The one fight they had involved them stumbling into the cave of the First Troll, an ancient (but nearly unintelligent) monstrosity that regenerated almost instantly every bit of damage they did to it - which they only escaped by using explosives to bury it under a landslide.
By the end of the session they were cowering in bushes at the slightest sign of danger, jumping at every shadow, afraid to drink any water or touch any plants. They finally emerged into safety... having taken almost no damage or any lasting effects, but convinced that they were about to die at any moment.
Not the sort of thing I'd run in such a fashion on a regular basis, but for a place supposed to be a valley of ancient terrors - or something like the Demon Wastes - it worked, and they all specifically commented on it being one of the most intense sessions of the campaign.
In the end, it is all too easy for PCs to just assume they can handle anything (I'm running into that problem right now, trying to keep a group properly cautious in Ravenloft), and sometimes stepping outside the stats is the only way to make it work.
In part because, admittedly, many players are familiar with various monsters, dangers, etc, in D&D. When they encounter something completely new (such as black slude vomit!) they don't know what to expect, and that really helps drive the fear home.
